@article{5516d3a6134a4b30a2340a312a1a5a1d,
title = "Valuation of double trigger catastrophe options with counterparty risk",
abstract = "This study presents a novel catastrophe option pricing model that considers counterparty risk. Asset prices are modeled through a jump-diffusion process which is correlated to counterparty loss process and collateral assets. Because of the long term of catastrophe options, this study also examines the model in the stochastic interest rate environment. The numerical results indicate that counterparty risk significantly affects the value of options. Recently, numerous serious financial events have demonstrated the importance of counterparty risk when valuing financial products.",
author = "Jiang, {I. Ming} and Yang, {Sheng Yung} and Liu, {Yu Hong} and Wang, {Alan T.}",
note = "Funding Information: We are grateful to the guest editors, Shawkat Hammoudeh and Michael McAleer, and the anonymous referees for detailed comments which have materially improved this paper. We also thank the participants in 16th International Conference on Computing in Economics and Finance for the valuable comments and the National Science Council, Taiwan, R.O.C. , for the financial support (grant No. NSC98-2410-H-006-022 and No. NSC99-2914-I-155-011-A1 ). Copyright: Copyright 2013 Elsevier B.V., All rights reserved.",
year = "2013",
month = aug,
doi = "10.1016/j.najef.2012.06.017",
language = "English",
volume = "25",
pages = "226--242",
journal = "North American Journal of Economics and Finance",
issn = "1062-9408",
publisher = "Elsevier Inc.",
}