Electricity price modeling and asset valuation: a multi-fuel structural approach

DOI10.1007/s11579-012-0091-4zbMath1269.91037arXiv1205.2299MaRDI QIDQ356476

Michael Coulon, Daniel C. Schwarz, René A. Carmona

Publication date: 25 July 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.2299

zbMATH Keywords

electricity markets; spread options; forward prices; power plant valuation; structural model

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B24: Microeconomic theory (price theory and economic markets)

91B54: Special types of economic markets (including Cournot, Bertrand)

Related Items

Utility indifference valuation for non-smooth payoffs with an application to power derivatives, Electricity derivatives pricing with forward-looking information, Model Uncertainty in Commodity Markets

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