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• W2007068052 abstract "Of 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." @default.
• W2007068052 created "2016-06-24" @default.
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• W2007068052 creator A5028303436 @default.
• W2007068052 date "2008-12-01" @default.
• W2007068052 modified "2023-10-03" @default.
• W2007068052 title "A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model" @default.
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• W2007068052 doi "https://doi.org/10.1080/13504860802379835" @default.
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