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The valuation of clean spread options: Linking electricity, emissions and fuels

Author(s): Carmona, Rene; Coulon, M; Schwarz, D

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dc.contributor.authorCarmona, Rene-
dc.contributor.authorCoulon, M-
dc.contributor.authorSchwarz, D-
dc.date.accessioned2021-10-11T14:17:33Z-
dc.date.available2021-10-11T14:17:33Z-
dc.date.issued2012-12-01en_US
dc.identifier.citationCarmona, R, Coulon, M, Schwarz, D. (2012). The valuation of clean spread options: Linking electricity, emissions and fuels. Quantitative Finance, 12 (12), 1951 - 1965. doi:10.1080/14697688.2012.750733en_US
dc.identifier.issn1469-7688-
dc.identifier.urihttp://arks.princeton.edu/ark:/88435/pr10g53-
dc.description.abstractThe 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.en_US
dc.format.extent1951 - 1965en_US
dc.language.isoen_USen_US
dc.relation.ispartofQuantitative Financeen_US
dc.rightsAuthor's manuscripten_US
dc.titleThe valuation of clean spread options: Linking electricity, emissions and fuelsen_US
dc.typeJournal Articleen_US
dc.identifier.doidoi:10.1080/14697688.2012.750733-
dc.identifier.eissn1469-7696-
pu.type.symplectichttp://www.symplectic.co.uk/publications/atom-terms/1.0/journal-articleen_US

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