%0 Journal Article
%T The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
%A Rene Carmona
%A Michael Coulon
%A Daniel Schwarz
%J Quantitative Finance
%D 2012
%I arXiv
%R 10.1080/14697688.2012.750733
%X 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 computer code. The novelty of the approach is embedded in the use of structural models as opposed to reduced-form models which fail to capture properly the fundamental dependencies between the economic factors entering the production process.
%U http://arxiv.org/abs/1205.2302v1