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- W3123991684 abstract "This paper develops a pricing model of nature-linked bonds accounting for interest rate uncertainty and exchange rate volatility within an arbitrage approach. We show first that this valuation boils down to computing first-passage time distributions, since bondholders are shown to be in a short position on outside barrier currency calls and on one-touch digital options written on risk-tracking indexes. Then, we implement the technique of forward-neutral change of numeraire to derive closed-form solutions or else perform Monte Carlo simulations. Further, we conduct a comparative statics analysis that stresses the sensitivity of insurance bond prices to nature risk exposure and exchange rate uncertainty, and show that the former is more pronounced than the latter." @default.
- W3123991684 created "2021-02-01" @default.
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- W3123991684 date "2001-11-14" @default.
- W3123991684 modified "2023-09-30" @default.
- W3123991684 title "The Valuation of Nature-Linked Bonds with Exchange Rate Risk" @default.
- W3123991684 hasPublicationYear "2001" @default.
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