Jump-Diffusion Modeling in Emission Markets

DOI10.1080/15326349.2011.542726zbMath1260.91170arXiv1001.3728OpenAlexW2100430060MaRDI QIDQ4906407

Juri Hinz, Geoffrey Decrouez, Konstantin A. Borovkov

Publication date: 11 February 2013

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1001.3728

Mathematics Subject Classification ID

Related Items (4)

A multi-period stochastic portfolio optimization model applied for an airline company in the EU ETS ⋮ Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching ⋮ Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach ⋮ Detecting and modelling the jump risk of CO₂emission allowances and their impact on the valuation of option on futures contracts

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Environmental economics and modeling marketable permits
• On fair pricing of emission-related derivatives
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• A model of intertemporal emission trading, banking, and borrowing
• A dynamic analysis of the marketable permits approach to global warming policy: A comparison of spatial and temporal flexibility
• Risk-Neutral Models for Emission Allowance Prices and Option Valuation
• Optimal Stochastic Control and Carbon Price Formation
• Market Design for Emission Trading Schemes
• PRICING AND HEDGING IN CARBON EMISSIONS MARKETS
• Financial Modelling with Jump Processes
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

This page was built for publication: Jump-Diffusion Modeling in Emission Markets