Electricity Real Options Valuation

Simple item page
dc.creatorBroszkiewicz-Suwaj, Ewa
dc.date2006-08-16
dc.date.accessioned2026-07-07T07:25:50Z
dc.date.available2026-07-07T07:25:50Z
dc.descriptionIn this paper a real option approach for the valuation of real assets is presented. Two continuous time models used for valuation are described: geometric Brownian motion model and interest rate model. The valuation for electricity spread option under Vasicek interest model is placed and the formulas for parameter estimators are calculated. The theoretical part is confronted with real data from electricity market.
dc.descriptionTo be published in Acta Phys. Pol. B
dc.identifierhttps://arxiv.org/abs/physics/0608167
dc.identifierhttp://arxiv.org/abs/physics/0608167
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/116858
dc.subjectAtmospheric and Oceanic Physics
dc.subjectMathematical Physics
dc.subjectData Analysis, Statistics and Probability
dc.titleElectricity Real Options Valuation
dc.typetext

Files

Collections

arXiv