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

^*此作品的通信作者

資訊管理與財務金融學系

研究成果: Article › 同行評審

1 引文斯高帕斯（Scopus）

摘要

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.

原文	American English
文章編號	8492370
頁（從 - 到）	35-45
頁數	11
期刊	IEEE Computational Intelligence Magazine
卷	13
發行號	4
DOIs	https://doi.org/10.1109/MCI.2018.2866728
出版狀態	Published - 1 11月 2018

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10.1109/MCI.2018.2866728

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

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