A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK

DOI10.1017/S0269964818000530zbMath1443.91302OpenAlexW2911775485WikidataQ128590060 ScholiaQ128590060MaRDI QIDQ5111486

Dan Li, Xingchun Wang, Guangli Xu

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

zbMATH Keywords

GARCHdefault risksystematic riskidiosyncratic riskG13power exchange options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (1)

Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

Cites Work

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• THE GARCH OPTION PRICING MODEL
• PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

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