A lattice-based method for pricing electricity derivatives under the threshold model

Applied Mathematical Finance

Volumn 15, Issue 5-6, 2008, Pages 531-567

  Geman, Helyette ^a,b   Kourouvakalis, Stelios ^b,c  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b ESSEC BUSINESS SCHOOL   (France)

^c UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

Electricity spot prices; Lattice based jump representation; Threshold model

Indexed keywords

EID: 57649176557     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860802379835     Document Type: Article

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