Pricing vulnerable power exchange options in an intensity based framework (Q2423595)
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scientific article; zbMATH DE number 7068906
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing vulnerable power exchange options in an intensity based framework |
scientific article; zbMATH DE number 7068906 |
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Pricing vulnerable power exchange options in an intensity based framework (English)
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20 June 2019
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power exchange options
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credit risk
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doubly stochastic Poisson process
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default
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0.9446424
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0.9192029
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0.9141786
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0.9035443
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0.8984982
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0.89548004
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0.8928192
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0.8907327
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0.88972116
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