[R-SIG-Finance] Energy Industry Groups?
adrian_d at eskimo.com
Tue Jul 24 17:16:12 CEST 2007
I don't know of any energy related group. Common methods for pricing
spread options you can find in Haug's book. You can also check Carmona's
papers, he has an enhancement to what you'll find in Haug. However, a
blind application of out of the box methods to price optionality of power
plants can give you numbers that will be misleading.
On Tue, 24 Jul 2007, John Putz wrote:
> Do you know if there're any energy-industry-specific groups for discussing energy related topics in Rmetrics? I'm currently interested in options for modeling a (gas-fired) power plant as a spread option.
> Thank, John.
> email: johnputz3655 at yahoo.com
> home: 206-632-6522
> cell: 206-910-5229
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