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

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.