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|標題:||Valuation of double trigger catastrophe options with counterparty risk||關鍵字:||Catastrophe;Stochastic interest rate;Counterparty risk;Compound Poisson||Project:||North American Journal of Economics and Finance, Volune 25, Page(s) 226-242.||摘要:||
This study presents a novel catastrophe option pricing model thatconsiders counterparty risk. Asset prices are modeled through ajump-diffusion process which is correlated to counterparty lossprocess and collateral assets. Because of the long term of catastropheoptions, this study also examines the model in the stochasticinterest rate environment. The numerical results indicate thatcounterparty risk significantly affects the value of options. Recently,numerous serious financial events have demonstrated the importanceof counterparty risk when valuing financial products.
|Appears in Collections:||財務金融學系所|
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