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

journal contribution
posted on 2023-06-08, 15:25 authored by René Carmona, Michael Coulon, Daniel Schwarz
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.

History

Publication status

  • Published

Journal

Quantitative Finance

ISSN

1469-7688

Publisher

Taylor & Francis

Issue

12

Volume

12

Page range

1951-1965

Department affiliated with

  • Business and Management Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2013-07-19

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    University of Sussex (Publications)

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