文献类型：期刊文献

英文题名：Catastrophe options with double compound Poisson processes

作者：Yu J.[1]

第一作者：Yu J.

通讯作者：Yu, J[1]

机构：[1]Henan Univ Econ & Law, Sch Finance, Zhengzhou 450011, Peoples R China

第一机构：河南财经政法大学金融学院

通讯机构：[1]corresponding author), Henan Univ Econ & Law, Sch Finance, Zhengzhou 450011, Peoples R China.|[104844]河南财经政法大学金融学院;[10484]河南财经政法大学;

年份：2015

卷号：50

起止页码：291-297

外文期刊名：ECONOMIC MODELLING

收录：;Scopus(收录号：2-s2.0-84938098149);WOS:【SSCI(收录号:WOS:000361253400029)】；

基金：The author thanks Professors Xiang Kainan and Zhang Xin for their helps. This work was supported partially by National Natural Science Foundation of China (No.11271204, No.11371020).

语种：英文

外文关键词：Catastrophe option; Compound Poisson process; Financial market risk

摘要：We study the following catastrophe option pricing model with double jump processes: (i) Stock process of an insurance company which sells catastrophe option are described through an exponential jump-diffusion process. (ii) All jump terms are modeled by two compound Poisson processes. One is correlated to the catastrophe loss process, and models the jumps of a stock due to catastrophe events. Another one models the jumps of the stock process caused by other financial market risks. For the model, we obtain explicit analytical formulas for the price of the put option, and then use several numerical examples based on Monte Carlo simulation to show its reasonability. (C) 2015 Elsevier B.V. All rights reserved.