European power options pricing with credit risk under stochastic interest rate

摘要：

In firm value model, (he paper considers European power options pricing under Hull-White rates model and stochastic liabilities. Using measure change and martingale approach, we get the pricing formula.

关键词： Hull-White interest rates model stochastic liabilities credit risk power options martingale approach.

作者: Wu Huang Yun Xu

作者单位: College of Mathematics & System Science, Xinjiang University, Urumqi 830046, China

会议类型: 国际会议

会议名称: 2010 International Conference on Probability and Statistics of the International Institute for General Systems Studies(国际一般系统理论研究会中国概率统计学会第二届学术会议IIGSS-CPS2010)

会议地点: 南京

会议语种:英文

页码: 174-178

在线出版日期: 2010-07-29（万方平台首次上网日期，不代表论文的发表时间）