The valuation of clean spread options: linking electricity, emissions and fuels
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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Volume (Year): 12 (2012)
Issue (Month): 12 (December)
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