The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
AbstractThe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1205.2302.
Date of creation: May 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-22 (All new papers)
- NEP-ENE-2012-05-22 (Energy Economics)
- NEP-ENV-2012-05-22 (Environmental Economics)
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