TY - JOUR
T1 - Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
AU - Koo, Eunho
AU - Kim, Geonwoo
N1 - Publisher Copyright:
© 2017 Elsevier Ltd
PY - 2017/8/1
Y1 - 2017/8/1
N2 - This paper concerns a catastrophe put option with default risk. Catastrophe events are described by the exponential jump model, and the default event of the option issuer is specified by the intensity based model with a stochastic intensity. Under this model, we derive the explicit analytical pricing formula of a catastrophe put option with default risk by using the multidimensional Girsanov theorem repeatedly. We also observe the effects of default risk on the prices of a catastrophe put option through the numerical experiment.
AB - This paper concerns a catastrophe put option with default risk. Catastrophe events are described by the exponential jump model, and the default event of the option issuer is specified by the intensity based model with a stochastic intensity. Under this model, we derive the explicit analytical pricing formula of a catastrophe put option with default risk by using the multidimensional Girsanov theorem repeatedly. We also observe the effects of default risk on the prices of a catastrophe put option through the numerical experiment.
KW - Catastrophe put option
KW - Default risk
KW - Exponential jump model
KW - Intensity based model
UR - https://www.scopus.com/pages/publications/85018415914
U2 - 10.1016/j.chaos.2017.05.012
DO - 10.1016/j.chaos.2017.05.012
M3 - Article
AN - SCOPUS:85018415914
SN - 0960-0779
VL - 101
SP - 1
EP - 7
JO - Chaos, Solitons and Fractals
JF - Chaos, Solitons and Fractals
ER -