Explicit formula for the valuation of catastrophe put option with exponential jump and default risk

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.