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

DOI10.1155/2020/4268196MaRDI QIDQ6534572zbMATH OpenFDO

Authors Kaili Xiang, Peng Hu, Jie Shen

Publication date 7 May 2021

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

Copyright license Creative Commons Attribution 4.0 International

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(2)

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

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