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|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 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. © 2012 Copyright Taylor and Francis Group, LLC.|
|Citation:||Carmona, R, Coulon, M, Schwarz, D. (2012). The valuation of clean spread options: Linking electricity, emissions and fuels. Quantitative Finance, 12 (12), 1951 - 1965. doi:10.1080/14697688.2012.750733|
|Pages:||1951 - 1965|
|Type of Material:||Journal Article|
|Journal/Proceeding Title:||Quantitative Finance|
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