A Closed-Form GARCH Option Valuation Model

2000 ◽  
Author(s):  
Steve L. Heston ◽  
Saikat Nandi
Keyword(s):  
Closed Form ◽  
Option Valuation ◽  
Valuation Model

A Closed-Form GARCH Option Valuation Model

2000 ◽  
Vol 13 (3) ◽  
pp. 585-625 ◽  
Author(s):  
Steven L. Heston ◽  
Saikat Nandi
Keyword(s):  
Closed Form ◽  
Option Valuation ◽  
Valuation Model

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.

scholarly journals Closed Form Spread Option Valuation

2006 ◽  
Author(s):  
Petter Bjerksund ◽  
Gunnar Stensland
Keyword(s):  
Closed Form ◽  
Option Valuation ◽  
Spread Option

scholarly journals Option valuation model with adaptive fuzzy numbers

2007 ◽  
Vol 53 (5) ◽  
pp. 831-841 ◽  
Author(s):  
K. Thiagarajah ◽  
S.S. Appadoo ◽  
A. Thavaneswaran
Keyword(s):  
Fuzzy Numbers ◽  
Option Valuation ◽  
Adaptive Fuzzy ◽  
Valuation Model

scholarly journals Closed form spread option valuation

2011 ◽  
Vol 14 (10) ◽  
pp. 1785-1794 ◽  
Author(s):  
Petter Bjerksund ◽  
Gunnar Stensland
Keyword(s):  
Closed Form ◽  
Option Valuation ◽  
Spread Option
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