Detecting and modelling the jump risk of CO2emission allowances and their impact on the valuation of option on futures contracts

DOI10.1080/14697688.2015.1059953zbMath1468.91177OpenAlexW1608767736MaRDI QIDQ5001169

Sharon S. Yang, Chuang-Chang Chang, Jr-Wei Huang

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1059953

zbMATH Keywords

jump testconditional Esscher transformemission allowancesdynamic jump model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Jump processes on discrete state spaces (60J74)

Cites Work

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• Risk, jumps, and diversification
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• Market Design for Emission Trading Schemes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Jump-Diffusion Modeling in Emission Markets
• The Endogenous Price Dynamics of Emission Allowances and an Application to CO₂Option Pricing
• Option pricing when underlying stock returns are discontinuous
• APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING

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