Abstract
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the use of a structural model as opposed to reduced-form models which fail to capture properly the fundamental dependencies between the economic factors entering the production process.
Original language | English (US) |
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Pages (from-to) | 1951-1965 |
Number of pages | 15 |
Journal | Quantitative Finance |
Volume | 12 |
Issue number | 12 |
DOIs | |
State | Published - Dec 2012 |
All Science Journal Classification (ASJC) codes
- Finance
- General Economics, Econometrics and Finance
Keywords
- Electricity markets
- Emission markets
- Real asset valuation
- Spread options