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

状态转移模型中带有信用风险的巨灾期权的定价

作　　者：XU Yajuan WANG Guojing 徐亚娟;王过京(苏州市职业大学数理部,苏州215104;苏州大学金融工程中心和数学科学学院,苏州215006)

机构地区：[1]Department of Mathematics and Physics,Suzhou Vocational University,Suzhou,215104,China [2]The Center for Financial Engineering and Department of Mathematics,Soochow University,Suzhou,215006,China

出　　处：《应用概率统计》2024年第4期572-587,共16页Chinese Journal of Applied Probability and Statistics

基　　金：supported by the Jiangsu University Philosophy and Social Science Research Project(Grant No.2019SJA1326).

摘　　要：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.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.

关 键 词：PRICING catastrophe option credit risk REGIME-SWITCHING measure change 

分 类 号：O211.6[理学—概率论与数理统计]