Chevallier, Julien; Goutte, Stéphane - Institut de Préparation à l'Administration et à la … - 2014
dynamics of the fuel-switching price (from coal to gas) when taking into account carbon costs. Several stochastic processes are … considered to model the fuel-switching price: (i) the Brownian motion, and (ii) the Lévy jump process. Besides, the probability … distributions. The results unambigu- ously point out the need to resort to jump modeling techniques to model satisfactorily the fuel-switching …