Valuation of catastrophe equity put options with correlated default risk and jump risk

Autor:	Hongwei Bi, Guanying Wang, Xingchun Wang
Rok vydání:	2019
Předmět:	050208 finance Actuarial science Markov chain 05 social sciences Equity (finance) Poisson distribution symbols.namesake 0502 economics and business Jump Default risk Economics symbols 050207 economics Finance Valuation (finance)
Zdroj:	Finance Research Letters. 29:323-329
ISSN:	1544-6123
DOI:	10.1016/j.frl.2018.08.014
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::76f1f6071ead7ac884c68ab14011a00d https://doi.org/10.1016/j.frl.2018.08.014 Zobrazit plný text záznamu Full Text from ScienceDirect