Pricing Model of Catastrophe options based on Seismic Risk

摘要：

In this paper we focus on the problem of catastrophe options pricing.Catastrophe options will be regarded as the double trigger put based on seismic risk.Apply the techniques of financial mathematics and financial engineering to establish the pricing formula of catastrophe options based on losses distribution of earthquake disasters.The principle of martingale process and dynamic asset pricing method are the basis of the pricing model.Pricing formulas of catastrophe options are separately constructed for the cases where the times of losses are known or not.Examples show that model results are better.

关键词： pricing model catastrophe options seismic risk

作者: Wei SUN Jinjin NIU

作者单位: School of Economics and Management,Harbin Engineering University,Harbin,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 559-564

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）