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

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  • René Carmona
  • Michael Coulon
  • Daniel Schwarz
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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.

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    File URL: http://hdl.handle.net/10.1080/14697688.2012.750733
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

    Volume (Year): 12 (2012)
    Issue (Month): 12 (December)
    Pages: 1951-1965

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    Handle: RePEc:taf:quantf:v:12:y:2012:i:12:p:1951-1965

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