Power Exchange Options Pricing
The article introduces a pricing model for power exchange options that takes into account liquidity risk and counterparty default risk, demonstrating the influence of market liquidity on options prices.
Featured in No. 84 on 5 Feb 2025 · 16 days after release
- Released
- 20 Jan 2025
- First featured
- No. 84 · 5 Feb 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 14
- Identifier
- SSRN 5104729
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).