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) |
|---|---|
| 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
Fingerprint
Dive into the research topics of 'The valuation of clean spread options: Linking electricity, emissions and fuels'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver