| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1144748 | Journal of the Korean Statistical Society | 2012 | 14 Pages |
Abstract
This paper considers the problem of pricing and hedging of certain catastrophe (CAT) options. In particular, a self-financing hedging strategy that minimizes the risk in the loss period and replicates the option in the development period is proposed.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hsien-Jen Lin,