Pricing power exchange options with hawkes jump diffusion processes

In this article, we propose a jump diffusion framework to price the power exchange options. We model dynamics of assets using Hawkes with common factors describe correlated risk and clustering asset jumps. In proposed model, jumps, reflecting systematic idiosyncratic risk, are modeled by self-exciting process exponential decay. A pricing formula for valuation option is obtained following measure-change technique. Existing models in literature shown be special cases model. Finally, sensitivity analysis given illustrate effect on prices. observe that significantly effects