Pricing Model of Catastrophe options based on Seismic Risk

摘要

In this paper we focus on the problem of catastrophe options pricing.Catastrophe options will be regarded as the double trigger put based on seismic risk.Apply the techniques of financial mathematics and financial engineering to establish the pricing formula of catastrophe options based on losses distribution of earthquake disasters.The principle of martingale process and dynamic asset pricing method are the basis of the pricing model.Pricing formulas of catastrophe options are separately constructed for the cases where the times of losses are known or not.Examples show that model results are better.