Jiang, I-Ming; Yang, Sheng-Yung; Liu, Yu-Hong; Wang, Alan T. - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 226-242
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...
