The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels

Rene Carmona, Michael Coulon and Daniel Schwarz

Papers from arXiv.org

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 structural models as opposed to reduced-form models which fail to capture properly the fundamental dependencies between the economic factors entering the production process.

Date: 2012-05
New Economics Papers: this item is included in nep-ene and nep-env
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Citations: View citations in EconPapers (13)

Published in Quantitative Finance, 12(12), pp. 1951-1965, 2012

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1205.2302

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