85 citations · 113 across the 2 of their papers we have counts for
3 papers
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…
q-fin.PR2010
Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach
Sam Howison, Daniel Schwarz
We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing compl…