Singular forward-backward stochastic differential equations and emissions derivatives (Q1950264)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Singular forward-backward stochastic differential equations and emissions derivatives |
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Singular forward-backward stochastic differential equations and emissions derivatives (English)
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10 May 2013
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The authors are interested in modelling \(CO_{2}\) emissions, and in particular the valuation \(CO_{2}\) emission allowances. For this they propose two forward-backward stochastic differential equations with singular terminal condition as models. They also provide a first order Taylor expansion and show how to numerically calibrate some of their models to be used in \(CO_{2}\) option pricing.
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stochastic analysis
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forward-backward stochastic differential equations
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emissions derivatives
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