Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5499765 | Chaos, Solitons & Fractals | 2017 | 7 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Statistical and Nonlinear Physics
Authors
Eunho Koo, Geonwoo Kim,