Tsitakis, D.; Xanthopoulos, S.; Yannacopoulos, A.N. - In: Physica A: Statistical Mechanics and its Applications 371 (2006) 2, pp. 543-551
We present a method for the valuation of two types of cross-commodity electricity options, European spark spread options and locational spread options. Since the underlying assets here are non-tradeable, the methodology of Black–Scholes–Merton cannot be directly applied. Nevertheless,...