Open AccessPricing Zero-Coupon CAT Bonds Using the Enlargement of Filtration Theory: A General Framework
Author(s) -
Zied Chaieb,
Djibril Gueye
Publication year - 2022
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2022.123031
Subject(s) - filtration (mathematics) , coupon , stopping time , zero (linguistics) , optimal stopping , bond , event (particle physics) , mathematical economics , rare events , computer science , mathematical optimization , mathematics , economics , finance , statistics , physics , linguistics , philosophy , quantum mechanics