Valuation of catastrophe equity put options with correlated default risk and jump risk

被引：8

作者：

Bi, Hongwei ^{[1
]}

Wang, Guanying ^{[2
]}

Wang, Xingchun ^{[3
]}

机构：

[1] Univ Int Business & Econ, Sch Insurance & Econ, Beijing 100029, Peoples R China

[2] Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China

[3] Univ Int Business & Econ, Sch Int Trade & Econ, Beijing 100029, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2019年 / 29卷

基金：

中国国家自然科学基金;

关键词：

Catastrophe equity put options; Markov modulated poisson process; Default risk; RETURNS;

D O I：

10.1016/j.frl.2018.08.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, the pricing formula for catastrophe equity put options with correlated jump risk and default risk is derived. In the proposed model, we assume that catastrophic events and non-catastrophic events both follow Markov modulated Poisson processes and all assets are affected by these two kinds of events. Finally, a numerical example is performed to show the impacts of correlated jump risk and default risk.

引用

页码：323 / 329

页数：7

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