The aim of this article is to provide a systematic analysis of the conditions such that Fourier
transform valuation formulas are valid in a general framework; ie when the option has an …

In this paper, we comprehensively analyze the catastrophe (cat) swap, a financial instrument
which has attracted little scholarly attention to date. We begin with a discussion of the typical …

In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …

In this paper, we investigate the pricing issue and catastrophe risk management of
exchange options. Exchange options allow the holder to exchange its stocks for another at …

Natural disasters, such as tornadoes, floods, and wildfire pose risks to life and property,
requiring the intervention of insurance corporations. One of the most visible consequences …

In this study, we consider a new class of catastrophe equity put options, whose payoff
depends on the ratio of the realized variance of the stock over the life of the option and the …

Conventional indemnity-based insurance (“conventional insurance”) and index-based
insurance (“index insurance”) represent two primary insurance types, each harboring distinct …

Due to their relatively high yields and low return correlations with traditional asset classes,
insurance-linked securities (ILS) are often described as an attractive investment opportunity …

In this study, we design and price a new kind of catastrophe equity put options, whose payoff
depends on the ratio of accumulated losses and the expected level over the life of the …

In this paper, the pricing formula for catastrophe equity put options with correlated jump risk
and default risk is derived. In the proposed model, we assume that catastrophic events and …