| Summary: | 碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 95 === The frequency and severity of catastrophe losses have increased in recent years, leading to the reduction in the capacity of reinsurance. Financial instruments such as catastrophe futures, catastrophe bonds and catastrophe options are widely applied to securitize catastrophic risk and have been created to diversify catastrophic risk to capital markets. This paper introduces some of them and then focuses on catastrophe options. The frequency of the catastrophe risk is modeled through the Poisson process. In this paper, some parameters of catastrophe options are analyzed through Least-Square Monte Carlo method for illustrations. This paper explores the pricing issues of catastrophe options. The simulation results indicate that the values of catastrophe option therefore increase as those parameters of the down jump factor of stock price, the frequency of down jump, stock volatility, the time to expiration and strike price increase.
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