Show simple item record

dc.contributor.authorGeman, Hélyette
dc.contributor.authorKourouvakalis, Stelios
dc.date.accessioned2014-03-05T09:15:19Z
dc.date.available2014-03-05T09:15:19Z
dc.date.issued2008-10
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12811
dc.language.isoenen
dc.subjectElectricity spot pricesen
dc.subjectthreshold modelen
dc.subjectlattice‐based jump representationen
dc.subject.ddc519en
dc.subject.classificationjelL94en
dc.subject.classificationjelC15en
dc.titleA Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Modelen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversity of London;Royaume-Uni
dc.description.abstractenOf the several models introduced for the modelling of electricity prices, the one proposed by Geman and Roncoroni, that we will refer to as the ‘threshold model’, has exhibited significant success in both its statistical properties and ability to accurately replicate trajectories of electricity prices. This article presents a lattice‐based method for the discretization of the threshold model that allows for the pricing of derivatives, including swing options. The methodology builds on an idea presented by Bally et al. for discretizing density functions, and constructs an approximating process that is shown to be a good proxy of the original process, producing a grid that incorporates both mean reversion and jumps.en
dc.relation.isversionofjnlnameApplied Mathematical Finance
dc.relation.isversionofjnlvol15en
dc.relation.isversionofjnlissue5-6en
dc.relation.isversionofjnldate2008-10
dc.relation.isversionofjnlpages531-567en
dc.relation.isversionofdoihttp://dx.doi.org/10.1080/13504860802379835en
dc.relation.isversionofjnlpublisherTaylor & Francisen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record