scholarly journals Modelling Crop Insurance Based on Weather Index Using The Homotopy Analysis for American Put Option

Jurnal Varian ◽  
2021 ◽  
Vol 4 (2) ◽  
pp. 117-124
Author(s):  
Agus Sofian Eka Hidayat ◽  
Monica Sandi Afa ◽  
Dedi Kurniawan
Keyword(s):  
Crop Insurance ◽  
Growing Season ◽  
Insurance Premium ◽  
Weather Index ◽  
Insurance Sector ◽  
American Put Option ◽  
Rainfall Index ◽  
Put Option ◽  
Optimal Execution ◽  
American Put

The crop insurance in Indonesia (AUTP) is much focused on the area impacted by flood, drought, and pest attack. The complication of the procedure to claim the loss must follow several conditions. The different approaches in the insurance sector, using weather index can be taken into consideration to produce a variety of insurance products. This insurance product used the American put option with the primary asset is the rainfall and the cumulative rainfall to exercise the claim, considering the optimal execution limit. The homotopic analysis is used to determine the valuation of the American put option, which also becomes the insurance premium. The case study is focused on areas experiencing a drought so that insurance claims can be exercise when the rainfall index value is below a predetermined limit. Considering the normality of the rainfall data, the calculation of insurance premium was done for the first growing season. The insurance premium is varies based on the optimal execution limit, while the calculation of profit is based on the optimum limit exercise and the minimum rainfall for the growing season, and its different depended on insurance claim acceptance limits.

The American put option in a one-dimensional diffusion model with level-dependent volatility

Stochastics ◽  
2007 ◽  
Vol 79 (1-2) ◽  
pp. 5-25 ◽  
Author(s):  
P. Babilua ◽  
I. Bokuchava ◽  
B. Dochviri ◽  
M. Shashiashvili
Keyword(s):  
Diffusion Model ◽  
One Dimensional ◽  
American Put Option ◽  
Put Option ◽  
Dimensional Diffusion ◽  
American Put

On Pricing American Put Option on a Fixed Term: A Monte Carlo Approach

2021 ◽  
pp. 2050010
Author(s):  
Perpetual Andam Boiquaye
Keyword(s):  
Monte Carlo ◽  
Optimal Stopping ◽  
Geometric Mean ◽  
Option Price ◽  
Stopping Time ◽  
Optimal Stopping Time ◽  
American Put Option ◽  
Put Option ◽  
One Year ◽  
American Put

This paper focuses primarily on pricing an American put option with a fixed term where the price process is geometric mean-reverting. The change of measure is assumed to be incorporated. Monte Carlo simulation was used to calculate the price of the option and the results obtained were analyzed. The option price was found to be $94.42 and the optimal stopping time was approximately one year after the option was sold which means that exercising early is the best for an American put option on a fixed term. Also, the seller of the put option should have sold $0.01 assets and bought $ 95.51 bonds to get the same payoff as the buyer at the end of one year for it to be a zero-sum game. In the simulation study, the parameters were varied to see the influence it had on the option price and the stopping time and it showed that it either increases or decreases the value of the option price and the optimal stopping time or it remained unchanged.

A new evaluation of mean value for fuzzy numbers and its application to American put option under uncertainty

2006 ◽  
Vol 157 (19) ◽  
pp. 2614-2626 ◽  
Author(s):  
Yuji Yoshida ◽  
Masami Yasuda ◽  
Jun-ichi Nakagami ◽  
Masami Kurano
Keyword(s):  
Fuzzy Numbers ◽  
Mean Value ◽  
American Put Option ◽  
Put Option ◽  
American Put
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