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
徐亚娟 1王过京2
作者信息
- 1. 苏州市职业大学数理部,苏州,215104
- 2. 苏州大学金融工程中心和数学科学学院,苏州,215006
- 折叠
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.
关键词
定价/巨灾期权/信用风险/状态转移/测度变换Key words
pricing/catastrophe option/credit risk/regime-switching/measure change引用本文复制引用
基金项目
Jiangsu University Philosophy and Social Science Research Project(2019SJA1326)
出版年
2024
NETL
NSTL
万方数据