Author: Lesniewski, Andrew; Lesniewski, Nicholas
Title: Options on infectious diseases Cord-id: ubm9h4yb Document date: 2020_3_18
ID: ubm9h4yb
Snippet: 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.
Document: 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.
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