Pricing of vulnerable power exchange option under the hybrid model

DOI10.7858/EAMJ.2021.035zbMATH Open1489.91266MaRDI QIDQ5083072FDOQ5083072

Authors: Jaegi Jeon, Jeonggyu Huh, Geonwoo Kim 

Publication date: 21 June 2022

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

zbMATH Keywords

hybrid modelcredit riskvulnerable optionpower exchange option

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (5)

• Simplified approach to valuation of vulnerable exchange option under a reduced-form model
• 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

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