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The valuation of clean spread options: linking electricity, emissions and fuels
16 references·2 citing·41 second hop
The valuation of clean spread options: linking electricity, emissions and fuels (2012)The valuation of clean spread options: li…On well-posedness of forward–backward SDEs—A unified approach (2015)On well-posedness of forward–…Market Design for Emission Trading Schemes (2010)Market Design for Emission Tr…The price of power: The valuation of power and weather derivatives (2008)The price of power: The valua…The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008)The Pearson Diffusions: A Cla…STochastic Modeling of Electricity and Related Markets (2008)STochastic Modeling of Electr…Stochastic Modeling of Electricity and Related Markets (2008)Stochastic Modeling of Electr…Dynamic behavior of CO2 spot prices (2008)Dynamic behavior of CO2 spot …Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (2007)Spot Price Modeling and the V…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Pricing and Hedging Spread Options (2003)Pricing and Hedging Spread Op…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Energy and power risk management : new developments in modeling, pricing and hedging (2003)Energy and power risk managem…A DIFFUSION MODEL FOR ELECTRICITY PRICES (2002)A DIFFUSION MODEL FOR ELECTRI…Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Backward stochastic different…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Unbundling, Markets, and Regulation (2022)Unbundling, Markets, and Regu…Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets (2020)Optimal Generation and Tradin…Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Utility maximization in incomplete markets (2005)BSDE with quadratic growth and unbounded terminal value (2006)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)A spot market model for pricing derivatives in electricity markets (2004)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Fourier space time-stepping for option pricing with Lévy models (2008)A Fourier Transform Method for Spread Option Pricing (2010)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)Optimal Control Theory : Applications to Management Science and Economics (2000)Modeling the price dynamics of CO2 emission allowances (2008)Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme (2009)Carbon price drivers: Phase I versus Phase II equilibrium? (2011)Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals (2012)How does emission trading reduce China's carbon intensity? An exploration using a decomposition and difference-in-differences approach (2019)An Intertemporal Capital Asset Pricing Model (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Heavy-tails and regime-switching in electricity prices (2008)A Critical Empirical Study of Three Electricity Spot Price Models (2011)Estimation methods for expected shortfall (2013)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)Valuation of energy storage: an optimal switching approach (2009)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2003Energy and power risk management : new developments in modeling, pricing and hedging347 cited
  • 2008Dynamic behavior of CO2 spot prices345 cited
  • 2003Pricing and Hedging Spread Options338 cited
  • 2008STochastic Modeling of Electricity and Related Markets307 cited
  • 2002A DIFFUSION MODEL FOR ELECTRICITY PRICES266 cited
  • 2008Stochastic Modeling of Electricity and Related Markets235 cited
  • 2008The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes181 cited
  • 2015On well-posedness of forward–backward SDEs—A unified approach151 cited
  • 2007Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity146 cited
  • 2010Market Design for Emission Trading Schemes131 cited

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2008
The price of power: The valuation of power and weather derivatives
130 cited

Cited by

  • 2020Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets19 cited
  • 2022Unbundling, Markets, and Regulation7 cited