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2021
Pricing of Vulnerable Power Exchange Option under the Hybrid Model
Pricing of Vulnerable Power Exchange Option under the Hybrid Model
영남수학회
논문정보
- Publisher
- East Asian Mathematical Journal
- Issue Date
- 2021-09-30
- Keywords
- -
- Citation
- -
- Source
- -
- Journal Title
- -
- Volume
- 37
- Number
- 5
- Start Page
- 567
- End Page
- 576
- DOI
- ISSN
- 12266973
Abstract
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.
- 전남대학교
- KCI
- East Asian Mathematical Journal
저자 정보
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