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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2021.9
- 수록면
- 567 - 576 (10page)
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초록· 키워드
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In this paper, we deal with the pricing of vulnerable power exchange option.
We consider the hybrid model as the credit risk model.
The hybrid model consists of a combination of the reduced-form model and the structural model.
We derive the closed-form pricing formula of vulnerable power exchange option based on the change of measure technique.
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참고문헌 (8)
참고문헌 신청
L. P. Blenman / Power exchange options / Financ. Res. Lett 2(2):97~106
F. A. Fard / 2015 / Analytical pricing of vulnerable options under a generalized jumpdiffusion model / Insur. Math. Econ 60:19~28
허정규 / 2021 / Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model / East Asian Mathematical Journal 37(1):79~85
G. Kim / 2016 / Closed-form pricing formula for exchange option with credit risk / Chaos Soliton Fract 91:221~227
김건우 / 2020 / A Probabilistic Approach for Valuing Exchange Option with Default Risk / East Asian Mathematical Journal 36(1):55~60
F. A. Fard / 2015 / Analytical pricing of vulnerable options under a generalized jumpdiffusion model / Insur. Math. Econ 60:19~28
허정규 / 2021 / Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model / East Asian Mathematical Journal 37(1):79~85
G. Kim / 2016 / Closed-form pricing formula for exchange option with credit risk / Chaos Soliton Fract 91:221~227
김건우 / 2020 / A Probabilistic Approach for Valuing Exchange Option with Default Risk / East Asian Mathematical Journal 36(1):55~60
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