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Multi layer model for correlated energy prices
Language
English
English
Book
Paperback
In this booklet we develop an extension of the affine jump-diffusion modeling framework and use it t...
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Libristo code: 16427881
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In this booklet we develop an extension of the affine jump-diffusion modeling framework and use it to build an intuitive and tractable model of an energy price complex. The development is motivated by the need to model prices of electricity while capturing their dependence on the price of other energy commodities. Such a model is essential for valuing a range of typical derivatives traded in the electricity markets: cross-commodity spread options, cross-location spread options, fuel-switching powerplants, etc. We give an approximate pricing method for these derivatives together with precise error bound estimates.
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About the book
Full name
Multi layer model for correlated energy prices
Author
Slimane Grine
Language
English
English
Binding
Book - Paperback
Date of issue
2017
Number of pages
228
EAN
9783330085114
Libristo code
16427881
Publishers
LAP Lambert Academic Publishing
Weight
358
Dimensions
150 x 220 x 14
Categories
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