The valuation of clean spread options: linking electricity, emissions and fuels
From MaRDI portal
Publication:5745656
DOI10.1080/14697688.2012.750733zbMATH Open1280.91163arXiv1205.2302OpenAlexW2072369698MaRDI QIDQ5745656FDOQ5745656
Michael Coulon, René Carmona, Daniel Schwarz
Publication date: 30 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
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 structural models as opposed to reduced-form models which fail to capture properly the fundamental dependencies between the economic factors entering the production process.
Full work available at URL: https://arxiv.org/abs/1205.2302
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Title not available (Why is that?)
- Market Design for Emission Trading Schemes
- Pricing and Hedging Spread Options
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Dynamic behavior of CO\(_2\) spot prices
- Risk-neutral models for emission allowance prices and option values
Cited In (4)
- A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets
- Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets
- Risk-neutral pricing of financial instruments in emission markets: a structural approach
- Pricing renewable identification numbers under uncertainty
This page was built for publication: The valuation of clean spread options: linking electricity, emissions and fuels
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5745656)
