Modelling spikes and pricing swing options in electricity markets

By Ben M. Hambly, Sam D. Howison, Tino Kluge. 2009

127 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/0748d1061a7c67839120dea5882ff70b3e8c4ee4

Citations in the corpus

• Valuation of energy storage: an optimal switching approach (2010, unknown): “Another application area is emissions trading (Insley 2003 ).”
• A General Closed-Form Spread Option Pricing Formula (2013, unknown): “The fourth model is a mean-reverting jump di ff usion model that generalizes the model proposed by Hambly et al. (2009).”
• General closed-form basket option pricing bounds (2016, unknown): “The third model is a mean-reverting jump diffusion that generalizes the model proposed by Hambly et al. (2009) to describe the electricity spot price in energy markets.”