Bond Power Exchange Options

2021 ◽  
Author(s):  
Lloyd P. Blenman
Keyword(s):  
Power Exchange ◽  
Exchange Options

Analytical valuation of power exchange options with default risk

2019 ◽  
Vol 28 ◽  
pp. 265-274 ◽  
Author(s):  
Guangli Xu ◽  
Xinjian Shao ◽  
Xingchun Wang
Keyword(s):  
Default Risk ◽  
Power Exchange ◽  
Exchange Options

A CLOSED-FORM GARCH VALUATION MODEL FOR POWER EXCHANGE OPTIONS WITH COUNTERPARTY RISK

2019 ◽  
Vol 34 (2) ◽  
pp. 279-296
Author(s):  
Xingchun Wang ◽  
Guangli Xu ◽  
Dan Li
Keyword(s):  
Closed Form ◽  
Default Risk ◽  
Reduced Form ◽  
Characteristic Functions ◽  
Counterparty Risk ◽  
Total Risk ◽  
Valuation Model ◽  
Power Exchange ◽  
Measure Change ◽  
Exchange Options

AbstractIn this paper, a discrete-time framework is proposed to value power exchange options with counterparty default risk, where counterparty risk is considered in a reduced-form setting and the variance processes of the underlying assets are captured by GARCH processes. In addition, the proposed model allows for the correlation between the intensity of default and the variances of the underlying assets by breaking down the total risk into systematic and idiosyncratic components. By dint of measure-change techniques and characteristic functions, we obtain the closed-form pricing formula for the value of power exchange options with counterparty default risk. Finally, numerical results are presented to show the power exchange option values.

The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk

2016 ◽  
Vol 37 (5) ◽  
pp. 499-521 ◽  
Author(s):  
Xingchun Wang ◽  
Shiyu Song ◽  
Yongjin Wang
Keyword(s):  
Counterparty Risk ◽  
Jump Risk ◽  
Power Exchange ◽  
Exchange Options

Power exchange options

2005 ◽  
Vol 2 (2) ◽  
pp. 97-106 ◽  
Author(s):  
Lloyd P. Blenman ◽  
Steven P. Clark
Keyword(s):  
Power Exchange ◽  
Exchange Options

A note on the never-early-exercise region of American power exchange options

2016 ◽  
Vol 44 (1) ◽  
pp. 129-135 ◽  
Author(s):  
Daniel Wei-Chung Miao ◽  
Xenos Chang-Shuo Lin ◽  
Steve Hsin-Ting Yu
Keyword(s):  
American Power ◽  
Early Exercise ◽  
Power Exchange ◽  
Exchange Options

Bond Power Exchange Options

2020 ◽  
Author(s):  
Lloyd P. Blenman ◽  
Alberto Bueno-Guerrero ◽  
Steven P. Clark
Keyword(s):  
Power Exchange ◽  
Exchange Options
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