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  • Search: subject:"Bull Call Spread"
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Subject
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Bull Call Spread 1 Electricity prices 1 Interconnector 1 Jump filter 1 Jumps 1 Real options 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Cartea, Álvaro 1 González-Pedraz, Carlos 1
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Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1
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Business Economics Working Papers 1
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RePEc 1
Showing 1 - 1 of 1
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How much should we pay for interconnecting electricity markets? A real options approach
Cartea, Álvaro; González-Pedraz, Carlos - Departamento de Economía de la Empresa, Universidad … - 2010
An interconnector is an asset that gives the owner the option to transmit electricity between two locations. In financial terms, the value of an interconnector is the same as a strip of real options written on the spread between power prices in two markets. We model the spread based on a:...
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