Pricing of Power Exchange Option with Jumps under the Double Risk of Exchange and Default

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, w...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Mathematical problems in engineering 2020, Vol.2020 (2020), p.1-12, Article 4268196
Hauptverfasser:	Xiang, Kaili, Shen, Jie, Hu, Peng
Format:	Artikel
Sprache:	eng
Schlagworte:	Bankruptcy Breach of contract Currency transactions Default Engineering Engineering, Multidisciplinary Floating exchange rates Foreign exchange rates Hedging Institutional investments International finance Mathematical models Mathematics Mathematics, Interdisciplinary Applications Physical Sciences Power Prices Pricing Risk Science & Technology Securities markets Technology Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!