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題名:Hurricane Derivatives: Valuation in a Warming Environment
書刊名:財務金融學刊
作者:Chang, Carolyn W.Chang, Jack S. K.
出版日期:2012
卷期:20:2
頁次:頁1-17
主題關鍵詞:全球暖化颶風期貨和期貨選擇權毀滅性力量隨機抵達密度選擇權訂價三重二項樹Global warmingHurricane futures and futures optionsDestructive powerStochastic arrival intensityOption pricingTriply-binomial tree
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:0
  • 點閱點閱:17
期刊論文
1.Webster, P. J.、Holland, G. J.、Curry, J. A.、Chang, H.-R.(2005)。Changes in Tropical Cyclone Number, Duration, and Intensity in a Warming Environment。Science,309(5742),1844-1846。  new window
2.Emanuel, Kerry A.(2005)。Increasing destructiveness of tropical cyclones over the past 30 years。Nature,436,686-688。  new window
3.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
4.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
5.Ane, Thierry、Geman, Helyette(2000)。Order flow, transaction clock, and normality of asset returns。Journal of Finance,55,2259-2284。  new window
6.Chang, Carolyn W.、Chang, Jack S. K.、Lu, WeLi(2010)。Pricing catastrophe options with stochastic claim arrival intensity in claim time。Journal of Banking & Finance,34(1),24-32。  new window
7.Chang, Chia-Chien、Lin, Shih-Kuei、Yu, Min-Teh(2010)。Valuation of catastrophe equity puts with Markov-modulated Poisson processes。The Journal of Risk and Insurance [Forthcoming]。  new window
8.Eisner, James B.、Kossin, James P.、Jagger, Thomas H.(2008)。The increasing intensity of the strongest tropical cyclones。Nature,455,92-94。  new window
9.Esteban, Miguel、Webersik, Christian、Shibayama, Tomoya(2009)。Effect of a global warming-induced increase in typhoon intensity on urban productivity in Taiwan。Sustainable Science,4,151-163。  new window
10.Geman, Helyette(2005)。From measure changes to time changes in asset pricing。Journal of Banking & Finance,29,2701-2722。  new window
11.Gerber, Hans U.(1984)。Error bounds for the compound Poisson approximation。Insurance: Mathematics and Economics,3,191-194。  new window
12.Gerber, Hans U.(1988)。Mathematical fun with the compound binomial process。ASTIN Bulletin,18,161-168。  new window
13.Hallegatte, Stephane(2007)。The Use of synthetic hurricane tracks in risk analysis and climate change assessment。Journal of Applied Meteorological Climatology,46,1956-1966。  new window
14.Knutson, Thomas R.、Tuleya, Robert E.(2004)。Impact of C02-induced warming on simulated hurricane intensity and precipitation: Sensitivity of the choice of climate control and convective parameterization。Journal of Climate,17,3477-3495。  new window
15.Levi, Charles、Partrat, Christian(1991)。Statistical analysis of natural events in the United States。ASTIN Bulletin,21,253-276。  new window
16.Wu, Yang-Che、Chung, San-Lin(2010)。Catastrophe risk management with counterparty risk using alternative instruments。Insurance: Mathematics and Economics,47(2),234-245。  new window
 
 
 
 
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