巨灾债券定价的双指数跳跃扩散模型
Journal of Fujian University of Technology(2008)
Abstract
假定巨灾债券的损失指数服从双指数跳跃扩散过程,在风险中立的条件下,运用拉普拉斯变换得出巨灾债券定价的解析公式。
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Key words
double exponential distribution,Laplace transform,catastrophe bond
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