The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
Pricing of Securities
2015-05-27 v1
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.
Keywords
Cite
@article{arxiv.1205.2302,
title = {The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels},
author = {Rene Carmona and Michael Coulon and Daniel Schwarz},
journal= {arXiv preprint arXiv:1205.2302},
year = {2015}
}