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Analytical valuation of power exchange options with default risk · Study

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ArticleAnalytical valuation of power exchange options with default risk

Guangli Xu2018

Article2018

Analytical valuation of power exchange options with default risk

Guangli Xu · Xinjian Shao · Xingchun Wang

24 citations·0/0 files stored·Finance research letters

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Stochastic processes and financial applications Capital Investment and Risk Analysis Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms 2010Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure 1987The Pricing of Options with Default Risk 1996Pricing Black-Scholes options with correlated credit risk

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2023Exchange options with stochastic liquidity risk

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2016The Valuation of Power Exchange Options with Counterparty Risk and Jump Riskarticle · 6 shared references 2019Pricing vulnerable power exchange options in an intensity based frameworkarticle · 6 shared references 1996Pricing Black-Scholes options with correlated credit riskarticle · 5 shared references 2001Pricing vulnerable European options when the option’s payoff can increase the risk of financial distressarticle · 5 shared references 1999Valuation of European Options Subject to Financial Distress and Interest Rate riskarticle · 5 shared references 2011A jump-diffusion approach to modelling vulnerable option pricingarticle · 5 shared references

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Year2018

Typearticle

Published2018-07-29

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.frl.2018.05.007

openalex_workW2883984716

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