A closed-form GARCH valuation model for power exchange options with counterparty risk (Q5111486)
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scientific article; zbMATH DE number 7204732
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| English | A closed-form GARCH valuation model for power exchange options with counterparty risk |
scientific article; zbMATH DE number 7204732 |
Statements
A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK (English)
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27 May 2020
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default risk
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GARCH
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idiosyncratic risk
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power exchange options
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systematic risk
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G13
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0.8373403549194336
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0.8136954307556152
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0.7800219655036926
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0.7679715156555176
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0.7660769820213318
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