Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate

DOI10.1080/03610926.2021.1928202MaRDI QIDQ6107577zbMATH OpenOpenAlexFDO

Authors Shengjie Yue, Chaoqun Ma, Chao Deng

Publication date 3 July 2023

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2021.1928202

zbMATH Keywords

default riskfast Fourier transformpower exchange optionsstochastic interest ratestochastic volatility model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(6)

• Pricing vulnerable power exchange options in an intensity based framework
• scientific article; zbMATH DE number 7235426 (Why is no real title available?)
• scientific article; zbMATH DE number 6453812 (Why is no real title available?)
• Pricing of power exchange option with jumps under the double risk of exchange and default
• Vulnerable power exchange options with liquidity risk
• European vulnerable options pricing under sub-mixed fractional jump-diffusion model with stochastic interest rate

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