Applying fuzzy parametersin pricing financial derivatives inspiredby the kyoto protocol

The emission trading is proposed in the Kyoto Protocol. An appropriate market and the market of financial derivatives for allowances will be established. Using the neutral martingale method and Monte Carlo simulations, we propose a stochastic model with a pricing formula, which may be useful for an evaluation of derivatives inspired by the Kyoto Protocol.

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Year of publication:	2009
Authors:	Nowak, Piotr ; Romaniuk, Maciej
Published in:	Operations Research and Decisions. - Wydział Informatyki i Zarządzania. - Vol. 4.2009, p. 77-91
Publisher:	Wydział Informatyki i Zarządzania
Subject:	option pricing \| financial derivatives \| Kyoto Protocol \| martingale method \| fuzzy parameters

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008777313