徐亚娟, 王过京. 状态转移模型中带有信用风险的巨灾期权的定价[J]. 应用概率统计, 2024, 40(4): 572-587. DOI: 10.12460/j.issn.1001-4268.aps.2024.2022067
引用本文: 徐亚娟, 王过京. 状态转移模型中带有信用风险的巨灾期权的定价[J]. 应用概率统计, 2024, 40(4): 572-587. DOI: 10.12460/j.issn.1001-4268.aps.2024.2022067
XU Y J, WANG G J. Pricing catastrophe options with credit risk in a regime-switching model [J]. Chinese J Appl Probab Statist, 2024, 40(4): 572−587. DOI: 10.12460/j.issn.1001-4268.aps.2024.2022067
Citation: XU Y J, WANG G J. Pricing catastrophe options with credit risk in a regime-switching model [J]. Chinese J Appl Probab Statist, 2024, 40(4): 572−587. DOI: 10.12460/j.issn.1001-4268.aps.2024.2022067

状态转移模型中带有信用风险的巨灾期权的定价

Pricing Catastrophe Options with Credit Risk in a Regime-Switching Model

  • 摘要: 在本文中, 我们考虑了状态转移模型中带有信用风险的巨灾期权的定价问题. 我们假设宏观经济状态由具有有限状态空间的连续时间的马尔可夫链描述. 通过测度变换技术,我们导出了巨灾看跌期权的定价表达式. 此外, 我们通过数值分析展示了模型的参数变化对巨灾看跌期权价格的影响.

     

    Abstract: In this paper, we consider the price of catastrophe options with credit risk in a regime-switching model. We assume that the macroeconomic states are described by a continuous-time Markov chain with a finite state space. By using the measure change technique, we derive the price expressions of catastrophe put options. Moreover, we conduct some numerical analysis to demonstrate how the parameters of the model affect the price of the catastrophe put option.

     

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