Pricing of vulnerable power exchange option under the hybrid model

DOI10.7858/EAMJ.2021.035MaRDI QIDQ5083072zbMATH OpenFDO

Authors Jaegi Jeon, Jeonggyu Huh, Geonwoo Kim

Publication date 21 June 2022

zbMATH Keywords

hybrid modelcredit riskvulnerable optionpower exchange option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Pricing vulnerable power exchange options in an intensity based framework
• Simplified approach to valuation of vulnerable exchange option under a reduced-form model
• The model and valuation of exchange option with credit risk
• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• Pricing exchange options with credit risk under a reduced form model

Cites work

• A probabilistic approach for valuing exchange option with default risk
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Closed-form pricing formula for exchange option with credit risk
• Simplified approach to valuation of vulnerable exchange option under a reduced-form model

Cited in

(5)

• Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
• An options pricing approach to ramping rate restrictions at hydro power plants
• Pricing of power exchange option with jumps under the double risk of exchange and default
• Pricing vulnerable power exchange options in an intensity based framework
• Simplified approach to valuation of vulnerable exchange option under a reduced-form model

This page was built for publication: Pricing of vulnerable power exchange option under the hybrid model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5083072)