Pricing of power exchange option with jumps under the double risk of exchange and default

DOI10.1155/2020/4268196zbMATH Open1544.9134MaRDI QIDQ6534572FDOQ6534572

Authors: Kaili Xiang, Peng Hu, Jie Shen 

Publication date: 7 May 2021

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

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Mathematics Subject Classification ID

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

Cites Work

• Option pricing when underlying stock returns are discontinuous
• Interest rate models -- theory and practice. With smile, inflation and credit
• CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
• Valuing equity-linked death benefits in general exponential Lévy models

Cited In (2)

• Pricing vulnerable power exchange options in an intensity based framework
• Pricing of power option with underlying assets following jumping diffusion process

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