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 a structural model as opposed to reduced-form models which fail to capture properly the fundamental dependencies between the economic factors entering the production process.
No takes yet. Share an insight, caveat, or question.
Carmona et al. (2012) studied this question.
Synapse has enriched one closely related paper. Consider it for comparative context: