Evaluating catastrophe reinsurance contracts: an option pricing approach with extreme risk

2012 ◽  
Vol 22 (12) ◽  
pp. 1017-1028 ◽  
Author(s):  
Wen-Chang Lin ◽  
Yi-Hsun Lai
Keyword(s):  
Option Pricing ◽  
Extreme Risk ◽  
Catastrophe Reinsurance

EXTREME RISK ASSESSMENT METHODOLOGY (ERAM) IN AVIATION SYSTEMS

2015 ◽  
Vol 14 (6) ◽  
pp. 1399-1408 ◽  
Author(s):  
Catalin Cioaca ◽  
Cristian-George Constantinescu ◽  
Mircea Boscoianu ◽  
Ramona Lile
Keyword(s):  
Risk Assessment ◽  
Assessment Methodology ◽  
Extreme Risk ◽  
Risk Assessment Methodology

On empirical likelihood option pricing

2017 ◽  
Vol 19 (5) ◽  
pp. 41-53
Author(s):  
Xiaolong Zhong ◽  
Jie Cao ◽  
Yong Jin ◽  
Wei Zheng
Keyword(s):  
Option Pricing ◽  
Empirical Likelihood

An analytical approximation for the GARCH option pricing model

1999 ◽  
Vol 2 (4) ◽  
pp. 75-116 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Geneviève Gauthier ◽  
Jean-Guy Simonato
Keyword(s):  
Option Pricing ◽  
Analytical Approximation ◽  
Pricing Model ◽  
Option Pricing Model

Efficient conservative second-order central-upwind schemes for option-pricing problems

2019 ◽  
Vol 22 (5) ◽  
pp. 71-101 ◽  
Author(s):  
Omishwary Bhatoo ◽  
Arshad Ahmud Iqbal Peer ◽  
Eitan Tadmor ◽  
Desire Yannick Tangman ◽  
Aslam Aly El Faidal Saib
Keyword(s):  
Option Pricing ◽  
Second Order ◽  
Upwind Schemes ◽  
Pricing Problems

Fourier space time-stepping for option pricing with Lévy models

2008 ◽  
Vol 12 (2) ◽  
pp. 1-29 ◽  
Author(s):  
Kenneth Jackson ◽  
Sebastian Jaimungal ◽  
Vladimir Surkov
Keyword(s):  
Option Pricing ◽  
Space Time ◽  
Fourier Space ◽  
Time Stepping
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