A closed-form GARCH valuation model for power exchange options with counterparty risk (Q5111486)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7204732
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
27 May 2020
0 references
default risk
0 references
GARCH
0 references
idiosyncratic risk
0 references
power exchange options
0 references
systematic risk
0 references
G13
0 references
0.8373403549194336
0 references
0.8136954307556152
0 references
0.7800219655036926
0 references
0.7679715156555176
0 references
0.7660769820213318
0 references
