The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk
研究了在考虑交易对手违约风险和重要商业信息跳跃影响下，幂交换期权的定价模型，并数值分析了两种风险对期权价格的影响。
Abstract This study presents a pricing model for power exchange options, in which the possibility of default by the risky counterparty as well as the arrival of important business information are taken into consideration. The idiosyncratic and common jump components induced by the arrival of business information are subsumed into all asset price processes whose dynamics are correlated with each other. Employing the measure‐change technique, we obtain a pricing formula for the values of power exchange options with counterparty risk. At last, based on the derived formula, we numerically analyze the impacts of counterparty risk and jump risk on option prices. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:499–521, 2017