[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.7858/eamj.2021.035

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)

Publication Information

East Asian mathematical journal / v.37, no.5, 2021 , pp. 567-576 More about this Journal

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

Power exchange option; Vulnerable Option; Hybrid model; Credit risk;

Citations & Related Records

Reference

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