A closed-form GARCH valuation model for power exchange options with counterparty risk

DOI10.1017/S0269964818000530MaRDI QIDQ5111486zbMATHOpenAlexWikidataFDO

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

zbMATH Keywords

GARCHdefault risksystematic riskidiosyncratic riskG13power exchange options

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3549968 (Why is no real title available?)
• Analytical pricing of vulnerable options under a generalized jump-diffusion model
• Bilateral counterparty risk under funding constraints. I: Pricing
• Bilateral counterparty risk under funding constraints. II: CVA
• Generalized autoregressive conditional heteroscedasticity
• Pricing vulnerable European options with stochastic correlation
• Stochastic portfolio optimization with default risk
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities
• The pricing of vulnerable options with double Mellin transforms

Cited in

(3)

• Pricing exchange options under hybrid stochastic volatility and interest rate models
• Valuing fade-in options with default risk in Heston-Nandi GARCH models
• Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment

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