Benth, Fred; Saltyte-Benth, Jurate - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 3, pp. 1355-1355
This paper presents an analytic approximation for the pricing dynamics of spark spread options in terms of Fourier … over periods, can be priced analytically. The price dynamics for different spark spread options with electricity and gas …
