本文運用結構式風險管理商品評價的理論，本研究深入討論此理論的代表性例子：巨災權益選擇權。巨災權益選擇權，是在發生巨災事件後，權利擁有者可以約定價格，發行權益證券來籌措資金的一種融資工具。此為其自留風險資金運作方式之一。可以事先議定條件，取得所須資金，並可減少降價出售股權之風險。此選擇權的行使必須滿足兩個條件，第一、標的資產必須低於執行價格即是符合價內要求，第二、特定的巨災事件必須發生且對標的資產產生影響。本研究利用Amin (1993) 提出的計算跳躍－擴散過程下在離散時間評價選擇權模型結合兩種特定的跳躍分配構成樹狀模型來評價具有到期執行和提早執行的巨災權益選擇權。

This thesis applies valuation of structured risk management products, specializing in the theoretical model to a representative product: a catastrophe equity put option. A catastrophe equity put option indicates that the option can be exercised by two conditions. One is the underlying equity must be under the strike price, the other is a specified catastrophic event must have taken place and influenced the insured firm. Amin (1993) developed the jump diffusion option valuation in the discrete time. This thesis uses certain types of jumps to construct tree models to price catastrophe equity put options. These options can be exercised at maturity date and before expiration.

1 INTRODUCTION
2 AMIN’S (1993) BINOMIAL MODEL
2.1 The theoretical model
2.2 Approximation of jump diffusion process
3 PRICING THE CATEPUT MODEL
3.1 The jump distribution with a specified size
3.2 An example of the jump size with lognormal distributition
4. NUMERICAL ILLUSTRATION
5 CONCLUSIONS
REFERENCES

Amin, K., (1993), “Jump Diffusion Option Valuation in Discrete Time,” Journal of Finance, 48, 1833-1863.
Cox, S. H., Fairchild, J. R. and Pedersen, H. W. (2004), “Valuation of Structured Risk Management Products,” Insurance: Mathematics and Economics, 34, 259-272.
Jaimungal, S. and T. Wang, (2006), ”Catastrophe Options with Stochastic Interest Rates and Compound Poisson Losses,” Insurance: Mathematics and Economics, 38, 469-483.
Merton, R. C. (1976), “Option Pricing when Underlying Stock Returns are Discontinuous, ” Journal of Financial Economics, 3, 125-144.