کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975234 1479789 2013 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Valuation of double trigger catastrophe options with counterparty risk
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Valuation of double trigger catastrophe options with counterparty risk
چکیده انگلیسی

This study presents a novel catastrophe option pricing model that considers counterparty risk. Asset prices are modeled through a jump-diffusion process which is correlated to counterparty loss process and collateral assets. Because of the long term of catastrophe options, this study also examines the model in the stochastic interest rate environment. The numerical results indicate that counterparty risk significantly affects the value of options. Recently, numerous serious financial events have demonstrated the importance of counterparty risk when valuing financial products.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 25, August 2013, Pages 226–242
نویسندگان
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