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Abstract In this paper, the pricing formula for catastrophe equity put options with correlated jump risk and default risk is derived. In the proposed model, we assume that catastrophic events… Click to show full abstract
Abstract In this paper, the pricing formula for catastrophe equity put options with correlated jump risk and default risk is derived. In the proposed model, we assume that catastrophic events and non-catastrophic events both follow Markov modulated Poisson processes and all assets are affected by these two kinds of events. Finally, a numerical example is performed to show the impacts of correlated jump risk and default risk.
Keywords:
default risk;
jump risk;
catastrophe equity;
risk
Journal Title: Finance Research Letters
Year Published: 2019
Link to full text (if available)
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Journal Title: Finance Research Letters
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!