Detecting and modelling the jump risk of CO<sub>2</sub>emission allowances and their impact on the valuation of option on futures contracts (Q5001169)
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scientific article; zbMATH DE number 7372431
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting and modelling the jump risk of CO<sub>2</sub>emission allowances and their impact on the valuation of option on futures contracts |
scientific article; zbMATH DE number 7372431 |
Statements
Detecting and modelling the jump risk of CO<sub>2</sub>emission allowances and their impact on the valuation of option on futures contracts (English)
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16 July 2021
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emission allowances
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dynamic jump model
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jump test
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conditional Esscher transform
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