Pricing catastrophe options with counterparty credit risk in a reduced form model |
| |
Authors: | Yajuan XU Guojing WANG |
| |
Institution: | 1. The Center for Financial Engineering and Department of Mathematics, Soochow University, Suzhou 215006, China;2. School of Mathematics and Physics, Suzhou Vocational University, Suzhou 215104, China |
| |
Abstract: | In this paper, we study the price of catastrophe options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model. We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae. |
| |
Keywords: | pricing catastrophe option counterparty risk measure change reduced form model 91G24 91G40 60G07 |
本文献已被 CNKI ScienceDirect 等数据库收录! |
|