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.
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.
| Original language | English |
|---|---|
| Pages (from-to) | 567-576 |
| Number of pages | 10 |
| Journal | East Asian Mathematical Journal |
| Volume | 37 |
| Issue number | 5 |
| DOIs | |
| State | Published - 2021 |