The valuation of clean spread options: linking electricity, emissions and fuels

Carmona, René, Coulon, Michael and Schwarz, Daniel (2012) The valuation of clean spread options: linking electricity, emissions and fuels. Quantitative Finance, 12 (12). pp. 1951-1965. ISSN 1469-7688

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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.

Item Type: Article
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HD Industries. Land use. Labour > HD9000 Special industries and trades > HD9502 Energy industries. Energy policy. Fuel trade
H Social Sciences > HG Finance
Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
T Technology > T Technology (General) > T0055.4 Industrial engineering. Management engineering > T0057 Applied mathematics. Quantitative methods
Depositing User: Michael Coulon
Date Deposited: 19 Jul 2013 10:36
Last Modified: 06 Mar 2017 11:27
URI: http://sro.sussex.ac.uk/id/eprint/45720

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