Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Year of publication: |
August-September 2016
|
---|---|
Authors: | Li, Chang-Yi ; Chen, Son-nan ; Lin, Shih-kuei |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 22.2016, 10/12, p. 887-908
|
Subject: | European Union Allowance | Esscher transform | jump diffusion model | Black's formula | Optionspreistheorie | Option pricing theory | EU-Staaten | EU countries | Emissionshandel | Emissions trading | Risikoprämie | Risk premium | Treibhausgas-Emissionen | Greenhouse gas emissions | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Derivat | Derivative | Volatilität | Volatility |
-
Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij, (2014)
-
Markov modulated jump-diffusions for currency options when regime switching risk is priced
Liu, David, (2019)
-
Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin, (2012)
- More ...
-
Chen, Son-Nan, (2014)
-
Chen, Son-nan, (2014)
-
Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
Chiang, Mi-Hsiu, (2016)
- More ...