Modeling and Computation of CO2Allowance Derivatives Under Jump-Diffusion Processes

DOI10.4208/aamm.2015.m1001zbMath1488.65361OpenAlexW2461123857MaRDI QIDQ5153684

Shuhua Zhang, Jing Wang

Publication date: 30 September 2021

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/aamm.2015.m1001

zbMATH Keywords

option pricingfast Fourier transformpartial integro-differential equationjump diffusionfitted finite volume method\(\mathrm{CO}_2\) emission allowance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with low regular coefficients and/or low regular data (35R05) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Numerical methods for discrete and fast Fourier transforms (65T50) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Finite volume methods for boundary value problems involving PDEs (65N08)

Related Items (1)

Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion

Cites Work

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