Electricity real options valuation

被引：0
|
作者：
Broszkiewicz-Suwaj, Ewa [1 ]
机构：
[1] Wroclaw Tech Univ, Hugo Steinhaus Ctr, Inst Math & Comp Sci, PL-50370 Wroclaw, Poland
来源：
ACTA PHYSICA POLONICA B | 2006年 / 37卷 / 11期
关键词：
D O I：
暂无
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In 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.
引用
收藏
页码：2955 / 2965
页数：11
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