Electricity Real Options Valuation
大气与海洋物理
2007-05-23 v1 数学物理
math.MP
数据分析、统计与概率
摘要
In this paper a real option approach for the valuation of real assets is presented. Two continuous time models used for valuation are described: geometric Brownian motion model and interest rate model. The valuation for electricity spread option under Vasicek interest model is placed and the formulas for parameter estimators are calculated. The theoretical part is confronted with real data from electricity market.
引用
@article{arxiv.physics/0608167,
title = {Electricity Real Options Valuation},
author = {Ewa Broszkiewicz-Suwaj},
journal= {arXiv preprint arXiv:physics/0608167},
year = {2007}
}
备注
To be published in Acta Phys. Pol. B