Article ID Journal Published Year Pages File Type
5499765 Chaos, Solitons & Fractals 2017 7 Pages PDF
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
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