Analytical Approximation for the Price Dynamics of Spark Spread Options
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DOI: 10.2202/1558-3708.1355
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Cited by:
- Kevin W. Lu, 2022. "Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 365-396, July.
- Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Stochastic Modeling of Electricity and Related Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6811, December.
- Cartea, Álvaro & González-Pedraz, Carlos, 2012.
"How much should we pay for interconnecting electricity markets? A real options approach,"
Energy Economics, Elsevier, vol. 34(1), pages 14-30.
- Cartea, Álvaro & González-Pedraz, Carlos, 2010. "How much should we pay for interconnecting electricity markets? A real options approach," DEE - Working Papers. Business Economics. WB wb103206, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
- Cartea, Álvaro & Jaimungal, Sebastian & Qin, Zhen, 2019. "Speculative trading of electricity contracts in interconnected locations," Energy Economics, Elsevier, vol. 79(C), pages 3-20.
- Farshid Mehrdoust & Idin Noorani, 2023. "Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 807-853, February.
- Wobben, Magnus & Dieckmann, Birgit & Reichmann, Oleg, 2012. "Valuation of physical transmission rights—An analysis of electricity cross-border capacities between Germany and the Netherlands," Energy Policy, Elsevier, vol. 42(C), pages 174-180.
- Fasen, Vicky, 2013. "Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration," Journal of Econometrics, Elsevier, vol. 172(2), pages 325-337.
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