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Pricing model of catastrophe option based on seismic risk

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2 Author(s)
Wei, Sun ; School of Economics and Management, Harbin Engineering University, Harbin, China ; Jin-jin, Niu

This paper concerns the problem of catastrophe option pricing. Catastrophe option will be regarded as the double trigger put based on seismic risk. Apply the techniques of financial mathematics and financial engineering to establish pricing formula of catastrophe option based on losses distribution of earthquake disasters. The principle of martingale process and dynamic asset pricing method are the basis of the pricing model. Whether the times of losses are known or not, establish pricing formulas of catastrophe option separately. Examples show that model results are better.

Published in:

E -Business and E -Government (ICEE), 2011 International Conference on

Date of Conference:

6-8 May 2011

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