85 citations · 113 across the 3 of their papers we have counts for
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q-fin.PR2012★ 28 cited
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…
q-fin.PR2012★ 85 cited
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…