Options on infectious diseases
Computational Finance
2020-03-26 v3
Abstract
We present a parsimonious stochastic model for valuation of options on the fraction of infected individuals during an epidemic. The underlying stochastic dynamical system is a stochastic differential version of the SIR model of mathematical epidemiology.
Cite
@article{arxiv.2003.07992,
title = {Options on infectious diseases},
author = {Andrew Lesniewski and Nicholas Lesniewski},
journal= {arXiv preprint arXiv:2003.07992},
year = {2020}
}
Comments
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