Year: 2020
Type: preprint
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.
Authors: Lesniewski, Andrew, Lesniewski, Nicholas
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3012198642