A closed-form GARCH valuation model for power exchange options with counterparty risk
DOI10.1017/S0269964818000530zbMATH Open1443.91302OpenAlexW2911775485WikidataQ128590060 ScholiaQ128590060MaRDI QIDQ5111486FDOQ5111486
Authors: Xingchun Wang, Guangli Xu, Dan Li 
Publication date: 27 May 2020
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964818000530
Recommendations
- Pricing vulnerable power exchange options in an intensity based framework
- Analytical valuation of vulnerable options in a discrete-time framework
- Closed-form pricing formula for exchange option with credit risk
- A probabilistic approach for valuing exchange option with default risk
- The model and valuation of exchange option with credit risk
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)
Cites Work
- The pricing of options and corporate liabilities
- Generalized autoregressive conditional heteroscedasticity
- Title not available (Why is that?)
- Title not available (Why is that?)
- THE GARCH OPTION PRICING MODEL
- Stochastic portfolio optimization with default risk
- Bilateral counterparty risk under funding constraints. I: Pricing
- Bilateral counterparty risk under funding constraints. II: CVA
- The pricing of vulnerable options with double Mellin transforms
- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- Pricing vulnerable European options with stochastic correlation
Cited In (3)
This page was built for publication: A closed-form GARCH valuation model for power exchange options with counterparty risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5111486)
