| 巨灾债券定价的双指数跳跃扩散模型 |
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| 引用本文： | 祝丽华. 巨灾债券定价的双指数跳跃扩散模型[J]. 福建建筑高等专科学校学报, 2008, 0(4): 336-338 |
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| 作者姓名： | 祝丽华 |
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| 作者单位： | 福建工程学院数理系,福建福州350108 |
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| 摘 要： | 假定巨灾债券的损失指数服从双指数跳跃扩散过程，在风险中立的条件下，运用拉普拉斯变换得出巨灾债券定价的解析公式。
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| 关 键 词： | 巨灾债券 双指数分布 拉普拉斯变换 |
Double exponential jump diffusion model for catastrophe bonds pricing |
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| Zhu Lihua. Double exponential jump diffusion model for catastrophe bonds pricing[J]. Journal of Fujian College of Architecture & C.E., 2008, 0(4): 336-338 |
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| Authors: | Zhu Lihua |
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| Affiliation: | Zhu Lihua (Mathematics and Physics Department , Fujian University of Technology, Fuzhou 350108, China) |
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| Abstract: | Catastrophe bonds are studied with the loss exponential assumed to follow a double exponential jump-diffusion process. Under the neutral risk, the pricing formula of catastrophe bonds are obtained using the Laplace transform. |
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| Keywords: | catastrophe bond double exponential distribution Laplace transform |
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