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
收藏
页码：323 / 329
页数：7
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