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Pricing of Power Exchange Option with Jumps under the Double Risk of Exchange and Default
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-03-17
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
Power exchange option is an exotic option which combines power option and exchange option.
In this paper, we consider the pricing of the power exchange option under exchange rate volatility risk and issuing company bankruptcy risk.
Meanwhile, considering the major events between the two countries, we add the Poisson jump process to the option model in order to reflect the impact of sudden factors on the price of transnational derivatives in the international market.
According to the no-arbitrage principle, a mathematical model for pricing such problems is established, and explicit solutions are obtained.
The numerical examples show that the model established in this paper is effective.
American Psychological Association (APA)
Xiang, Kaili& Hu, Peng& Shen, Jie. 2020. Pricing of Power Exchange Option with Jumps under the Double Risk of Exchange and Default. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1195061
Modern Language Association (MLA)
Xiang, Kaili…[et al.]. Pricing of Power Exchange Option with Jumps under the Double Risk of Exchange and Default. Mathematical Problems in Engineering No. 2020 (2020), pp.1-12.
https://search.emarefa.net/detail/BIM-1195061
American Medical Association (AMA)
Xiang, Kaili& Hu, Peng& Shen, Jie. Pricing of Power Exchange Option with Jumps under the Double Risk of Exchange and Default. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1195061
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1195061