The valuation of clean spread options: linking electricity, emissions and fuels
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Publication:5745656
DOI10.1080/14697688.2012.750733zbMath1280.91163arXiv1205.2302OpenAlexW2072369698MaRDI QIDQ5745656
Michael Coulon, René A. Carmona, Daniel C. Schwarz
Publication date: 30 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.2302
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Cites Work
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- Dynamic behavior of CO\(_2\) spot prices
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Risk-Neutral Models for Emission Allowance Prices and Option Valuation
- Market Design for Emission Trading Schemes
- A DIFFUSION MODEL FOR ELECTRICITY PRICES
- Pricing and Hedging Spread Options
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
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