The Pricing of Double Trigger Catastrophe Put Option with Default Risk
Linzhi Jiao & Zhenhua Bao · Asian Journal of Probability and Statistics · 2020
This study was present a catastrophe put option pricing model that considers default risk. The default of the option issuer can occur at any time before the maturity, and there is a correlation between the total assets of the option issuer, the underlying stock and the zero coupo...
Open access
Research Article
10.9734/ajpas/2020/v9i130219