PRICING CATASTROPHE OPTIONS WITH COUNTERPARTY CREDIT RISK IN A REDUCED FORM MODEL

数学物理学报(英文版) ›› 2018, Vol. 38 ›› Issue (1): 347-360.

PRICING CATASTROPHE OPTIONS WITH COUNTERPARTY CREDIT RISK IN A REDUCED FORM MODEL

徐亚娟^1,2, 王过京¹

1. The Center for Financial Engineering and Department of Mathematics, Soochow University, Suzhou 215006, China;
2. School of Mathematics and Physics, Suzhou Vocational University, Suzhou 215104, China

收稿日期:2015-04-27 修回日期:2017-01-03 出版日期:2018-02-25 发布日期:2018-02-25
作者简介:Yajuan XU,E-mail:yajuanxumaths@126.com;Guojing WANG,E-mail:gjwang@suda.edu.cn
基金资助:
This work was supported by the National Natural Science Foundation of China (11371274).

PRICING CATASTROPHE OPTIONS WITH COUNTERPARTY CREDIT RISK IN A REDUCED FORM MODEL

Yajuan XU^1,2, Guojing WANG¹

1. The Center for Financial Engineering and Department of Mathematics, Soochow University, Suzhou 215006, China;
2. School of Mathematics and Physics, Suzhou Vocational University, Suzhou 215104, China

Received:2015-04-27 Revised:2017-01-03 Online:2018-02-25 Published:2018-02-25
Supported by:
This work was supported by the National Natural Science Foundation of China (11371274).

摘要/Abstract

摘要： In this paper, we study the price of catastrophe options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model. We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.

关键词: pricing, catastrophe option, counterparty risk, measure change, reduced form model

Abstract: In this paper, we study the price of catastrophe options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model. We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.

Key words: pricing, catastrophe option, counterparty risk, measure change, reduced form model

徐亚娟, 王过京. PRICING CATASTROPHE OPTIONS WITH COUNTERPARTY CREDIT RISK IN A REDUCED FORM MODEL[J]. 数学物理学报(英文版), 2018, 38(1): 347-360.

Yajuan XU, Guojing WANG. PRICING CATASTROPHE OPTIONS WITH COUNTERPARTY CREDIT RISK IN A REDUCED FORM MODEL[J]. Acta mathematica scientia,Series B, 2018, 38(1): 347-360.

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PRICING CATASTROPHE OPTIONS WITH COUNTERPARTY CREDIT RISK IN A REDUCED FORM MODEL

PRICING CATASTROPHE OPTIONS WITH COUNTERPARTY CREDIT RISK IN A REDUCED FORM MODEL

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