Pricing vulnerable power exchange options in an intensity based framework

DOI10.1016/J.CAM.2019.01.019zbMath1410.91461OpenAlexW2912676679WikidataQ128454032 ScholiaQ128454032MaRDI QIDQ2423595

Puneet Pasricha, Anubha Goel

Publication date: 20 June 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.01.019

zbMATH Keywords

defaultcredit riskdoubly stochastic Poisson processpower exchange options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (10)

An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model ⋮ A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY ⋮ Valuing fade-in options with default risk in Heston-Nandi GARCH models ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ A contagion process with self-exciting jumps in credit risk applications ⋮ Analytical valuation of vulnerable European and Asian options in intensity-based models ⋮ Pricing power exchange options with Hawkes jump diffusion processes ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps ⋮ Pricing of spread and exchange options in a rough jump-diffusion market ⋮ Pricing path-dependent options under the Hawkes jump diffusion process

Cites Work

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• Pricing options with credit risk in a reduced form model
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• Options with constant underlying elasticity in strikes
• Point processes and queues. Martingale dynamics
• Valuing vulnerable geometric Asian options
• Pricing vulnerable options with stochastic volatility
• Valuation of vulnerable American options with correlated credit risk
• The credit risk and pricing of OTC options
• Exchange option pricing in jump-diffusion models based on esscher transform
• PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES

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