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From ruin theory to catastrophe opti...

University of Toronto (Canada).

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From ruin theory to catastrophe option pricing.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	From ruin theory to catastrophe option pricing./
Author:	Wang, Tao.
Description:	128 p.
Notes:	Source: Dissertation Abstracts International, Volume: 69-06, Section: A, page: 2392.
Contained By:	Dissertation Abstracts International69-06A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=NR39934
ISBN:	9780494399347

From ruin theory to catastrophe option pricing.
Wang, Tao.

From ruin theory to catastrophe option pricing. - 128 p.

Source: Dissertation Abstracts International, Volume: 69-06, Section: A, page: 2392.

Thesis (Ph.D.)--University of Toronto (Canada), 2008.

Although catastrophe derivatives have come into the limelight in recent years, little research has been published on the pricing and hedging issues associated with these complex instruments except that Cox et al. (2004) apply the jump-diffusion model to price a European style catastrophe equity put option. In this thesis, we first introduce the European catastrophe put option pricing and hedging in a stochastic interest rates model since the life time of such an option can be 3 years or more. However this option can be early exercised prior to the expiration date, we further explore the use of the expected discounted penalty function and mathematical tools developed for the expected discounted penalty function to evaluate perpetual American catastrophe equity put options. We obtain the analytical expression for the price of perpetual American catastrophe equity put options and conduct numerical implementation for a wide range of parameter values. We show that the use of the expected discounted penalty function enable us to evaluate the perpetual American catastrophe equity put option with minimal numerical work. In the end we apply Erlangzation technique into the finite time horizon and derive the price of Canadian put options.

ISBN: 9780494399347Subjects--Topical Terms:

626650
Economics, Finance.

From ruin theory to catastrophe option pricing.
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020 $a 9780494399347
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100 1 $a Wang, Tao. $3 1022231
245 1 0 $a From ruin theory to catastrophe option pricing.
300 $a 128 p.
500 $a Source: Dissertation Abstracts International, Volume: 69-06, Section: A, page: 2392.
502 $a Thesis (Ph.D.)--University of Toronto (Canada), 2008.
520 $a Although catastrophe derivatives have come into the limelight in recent years, little research has been published on the pricing and hedging issues associated with these complex instruments except that Cox et al. (2004) apply the jump-diffusion model to price a European style catastrophe equity put option. In this thesis, we first introduce the European catastrophe put option pricing and hedging in a stochastic interest rates model since the life time of such an option can be 3 years or more. However this option can be early exercised prior to the expiration date, we further explore the use of the expected discounted penalty function and mathematical tools developed for the expected discounted penalty function to evaluate perpetual American catastrophe equity put options. We obtain the analytical expression for the price of perpetual American catastrophe equity put options and conduct numerical implementation for a wide range of parameter values. We show that the use of the expected discounted penalty function enable us to evaluate the perpetual American catastrophe equity put option with minimal numerical work. In the end we apply Erlangzation technique into the finite time horizon and derive the price of Canadian put options.
590 $a School code: 0779.
650 4 $a Economics, Finance. $3 626650
650 4 $a Statistics. $3 517247
690 $a 0463
690 $a 0508
710 2 $a University of Toronto (Canada). $3 1017674
773 0 $t Dissertation Abstracts International $g 69-06A.
790 $a 0779
791 $a Ph.D.
792 $a 2008
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=NR39934