85 citations · 113 across the 3 of their papers we have counts for
4 papers
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Carol Alexander, Michael Coulon, Yang Han +1
Proper scoring rules are commonly applied to quantify the accuracy of distribution forecasts. Given an observation they assign a scalar score to each distribution forecast, with th…
On the optimal choice of strike conventions in exchange option pricing
Elisa Alòs, Michael Coulon
An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives. By me…
The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
Rene Carmona, Michael Coulon, Daniel Schwarz
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 com…
Electricity price modeling and asset valuation: a multi-fuel structural approach
Rene Carmona, Michael Coulon, Daniel Schwarz
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand f…