摘要
文中在约化模型的框架内考虑了含信用风险的幂交换期权定价,在"市场价值回复"下,给出了信用风险下幂交换期权的定价公式.
The power exchange option pricing with credit risk is considered.Under the ＂response of market value＂,general pricing formula of power exchange option under the credit risk is derived.
出处
《通化师范学院学报》
2011年第10期8-10,共3页
Journal of Tonghua Normal University
关键词
信用风险
约化模型
幂交换期权
credit risk
reduced-form model
power exchange option
