East Asian mathematical journal

The Youngnam Mathematical Society (영남수학회)
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PRICING OF VULNERABLE POWER EXCHANGE OPTION UNDER THE HYBRID MODEL

  • Jeon, Jaegi (Department of Mathematical Sciences, Seoul National University) ;
  • Huh, Jeonggyu (Department of Statistics, Chonnam National University) ;
  • Kim, Geonwoo (School of Liberal Arts, Seoul National University of Science and Technology)
  • Received : 2021.08.31
  • Accepted : 2021.09.23
  • Published : 2021.09.30
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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.

Keywords

Acknowledgement

This study was supported by the Research Program funded by the SeoulTech (Seoul National University of Science and Technology).

References

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