This study presents a novel catastrophe option pricing model that considers counterparty risk. Asset prices are modeled through a jump-diffusion process which is correlated to counterparty loss process and collateral assets. Because of the long term of catastrophe options, this study also...

This paper examines the effect of target Federal funds rate changes on major five foreign exchange markets: Canada, Australia, Euro, Japan and the UK during the period from 2000 to 2007. Two different approaches of Rai, Seth and Mohanty (2007) and the event study of Brown and Warner (1980, 1985)...

This paper examines the effect of target Federal funds rate changes on major five foreign exchange markets: Canada, Australia, Euro, Japan and the UK during the period from 2000 to 2007. Two different approaches of Rai, Seth and Mohanty (2007) and the event study of Brown and Warner (1980, 1985)...

This study presents a novel catastrophe option pricing model that considers counterparty risk. Asset prices are modeled through a jump-diffusion process which is correlated to counterparty loss process and collateral assets. Because of the long term of catastrophe options, this study also...