Abstract
In this chapter, I present the derivatives that can be considered to be particular to electricity. In this regard, the spread options described in Sect. 4.1 should be considered as the basis for more complex derivatives such as tolling contracts or swing options which were first mentioned in Sect. 2.3. Thus, I limit this section on spread options to a presentation of their different forms and on the cases where there is a closed-form formula or an analytical approximation.
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Aïd, R. (2015). Derivatives. In: Electricity Derivatives. SpringerBriefs in Quantitative Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-08395-7_4
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DOI: https://doi.org/10.1007/978-3-319-08395-7_4
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