Pricing catastrophe options with counterparty credit risk in a reduced form model

DOI10.1016/S0252-9602(17)30136-4zbMath1399.91124OpenAlexW2774443884MaRDI QIDQ1637025

Yajuan Xu, Guo-jing Wang

Publication date: 7 June 2018

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(17)30136-4

zbMATH Keywords

pricingcounterparty riskreduced form modelmeasure changecatastrophe option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• The Pricing of Options and Corporate Liabilities
• On Cox processes and credit risky securities
• Pricing options with credit risk in a reduced form model
• The Markov-modulated mean-variance problem for an insurer
• Correlated intensity, counter party risks, and dependent mortalities
• Valuation of structured risk management products
• On a reduced form credit risk model with common shock and regime switching
• Catastrophe options with stochastic interest rates and compound Poisson losses
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Catastrophe Risk Bonds

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