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Pricing of Vulnerable Power Exchange Option under the Hybrid Model
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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.
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.
참고문헌 (8)
- L. P. Blenman, "Power exchange options", Financ. Res. Lett, 2(2), pp.97~106
- F. A. Fard, "Analytical pricing of vulnerable options under a generalized jumpdiffusion model", Insur. Math. Econ, 60, pp.19~28 (2015)
- 허정규, "Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model", East Asian Mathematical Journal, 37(1), pp.79~85 (2021), 영남수학회
- G. Kim, "Closed-form pricing formula for exchange option with credit risk", Chaos Soliton Fract, 91, pp.221~227 (2016)
- 김건우, "A Probabilistic Approach for Valuing Exchange Option with Default Risk", East Asian Mathematical Journal, 36(1), pp.55~60 (2020), 영남수학회
- G. Kim, "Valuation of Exchange Option with Credit Risk in a Hybrid Model", Mathematics, 8(11), pp.2091~ (2020)
- P. Klein, "Pricing Black-Scholes options with correlated credit risk", J. Bank. Financ, 50, pp.1211~1229 (1996)
- W. Margrabe, "The value of an option to exchange one asset for another", J. Financ, 33(1), pp.177~186 (1978)
관련 논문AI추천
Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model김건우, 전재기, 허정규영남수학회 · East Asian Mathematical Journal2021 · 제37권 제1호A Probabilistic Approach for Valuing Exchange Option with Default Risk김건우영남수학회 · East Asian Mathematical Journal2020 · 제36권 제1호Pricing Vulnerable Power Option under a CEV Diffusion김동현, 윤지훈, 하미진영남수학회 · East Asian Mathematical Journal2021 · 제37권 제5호The pricing of power Quanto options under stochastic volatility이재성, Youngrok Lee장전수학회 · Proceedings of the Jangjeon Mathematical Society(장전수학회 논문집)2022 · 제25권 제1호Chooser options on various underlying options김원중, 이진영대한수학회 · 대한수학회논문집2024 · 제39권 제2호Pricing symmetric type of power quanto options이영록, 이재성대한수학회 · 대한수학회보2019 · 제56권 제2호
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