An accurate lattice model for pricing catastrophe equity put under the jump-diffusion process

Chuan Ju Wang; Tian-Shyr Dai

doi:10.1109/MCI.2018.2866728

An accurate lattice model for pricing catastrophe equity put under the jump-diffusion process

Chuan Ju Wang^*, Tian-Shyr Dai

^*Corresponding author for this work

Department of Information Management and Finance

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

A catastrophe equity put (CatEPut) is constructed to recapitalize an insurance company that suffers huge compensation payouts due to catastrophic events (CEs). The company can exercise its CatEPut to sell its stock to the counterparty at a predetermined price when its accumulated loss due to CEs exceeds a predetermined threshold and its own stock price falls below the strike price.

Original language	American English
Article number	8492370
Pages (from-to)	35-45
Number of pages	11
Journal	IEEE Computational Intelligence Magazine
Volume	13
Issue number	4
DOIs	https://doi.org/10.1109/MCI.2018.2866728
State	Published - 1 Nov 2018

Keywords

Mathematical model
Pricing
Insurance
Diffusion processes

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10.1109/MCI.2018.2866728

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KW - Diffusion processes

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An accurate lattice model for pricing catastrophe equity put under the jump-diffusion process

Abstract

Keywords

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