具有复合泊松损失和随机利率的巨灾期权定价

Catastrophe Option Pricing with Compound Poisson Loss and Stochastic Interest Rate

分析了带有复合泊松损失过程和随机利率的巨灾看跌期权的定价问题.资产价格通过跳扩散过程刻画,该过程与损失过程相关.当利率过程服从CIR模型时,获得了期权定价的显式解,并给出相关证明.通过一个实例,讨论了资产价格与期权价格的关系.

The pricing of catastrophe put option is analyzed by compound poisson loss process and stochastic interest rate.Asset prices are characterized by a jump diffusion process,which is related to the loss process.When the interest rate process obeys the CIR model,the explicit solution of option pricing is obtained and the relevant proof is given.Through an example,the relationship between asset price and option price is discussed.