Valuation of double trigger catastrophe options with counterparty risk

I. Ming Jiang, Sheng Yung Yang, Yu Hong Liu, Alan T. Wang

研究成果: Article同行評審

16 引文 斯高帕斯(Scopus)


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.

頁(從 - 到)226-242
期刊North American Journal of Economics and Finance
出版狀態Published - 2013 8月

All Science Journal Classification (ASJC) codes

  • 金融
  • 經濟學與計量經濟學


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