An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process

Takahiko Fujita, 岳彦 藤田, Naoyuki Ishimura, 直之 石村 and Daichi Tanaka

Hitotsubashi Journal of Economics, 2008, vol. 49, issue 2, 67-74

Abstract: We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox process or a doubly stochastic Poisson process. Employing the non-arbitrage principle we obtain closed form formula for the pricing of the option. Various hedging parameters are also computed.

Keywords: catastrophe options; Cox process; pricing (search for similar items in EconPapers)
JEL-codes: C02 G13 G22 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:hit:hitjec:v:49:y:2008:i:2:p:67-74

DOI: 10.15057/16521

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