Options on infectious diseases

Andrew Lesniewski and Nicholas Lesniewski

Papers from arXiv.org

Abstract: We present a parsimonious stochastic model for valuation of options on the fraction of infected individuals during an epidemic. The underlying stochastic dynamical system is a stochastic differential version of the SIR model of mathematical epidemiology.

Date: 2020-03, Revised 2020-03
New Economics Papers: this item is included in nep-hea
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2003.07992 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2003.07992

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().