Pricing of Power Exchange Option with Jumps under the Double Risk of Exchange and Default
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DOI: 10.1155/2020/4268196
Abstract: 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… read more here.
Keywords: option; pricing power; power exchange; exchange option ... See more keywords