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

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

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DC Field	Value	Language
dc.contributor.author	Carmona, Rene	-
dc.contributor.author	Coulon, M	-
dc.contributor.author	Schwarz, D	-
dc.date.accessioned	2021-10-11T14:17:33Z	-
dc.date.available	2021-10-11T14:17:33Z	-
dc.date.issued	2012-12-01	en_US
dc.identifier.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	en_US
dc.identifier.issn	1469-7688	-
dc.identifier.uri	http://arks.princeton.edu/ark:/88435/pr10g53	-
dc.description.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.	en_US
dc.format.extent	1951 - 1965	en_US
dc.language.iso	en_US	en_US
dc.relation.ispartof	Quantitative Finance	en_US
dc.rights	Author's manuscript	en_US
dc.title	The valuation of clean spread options: Linking electricity, emissions and fuels	en_US
dc.type	Journal Article	en_US
dc.identifier.doi	doi:10.1080/14697688.2012.750733	-
dc.identifier.eissn	1469-7696	-
pu.type.symplectic	http://www.symplectic.co.uk/publications/atom-terms/1.0/journal-article	en_US

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