Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Chang-Yi Li, Son-Nan Chen and Shih-Kuei Lin
| 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 | Emissionshandel | Emissions trading | Risikoprämie | Risk premium | EU-Staaten | EU countries | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Derivat | Derivative | Markov-Kette | Markov chain | Treibhausgas-Emissionen | Greenhouse gas emissions | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2015.1050526 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011715220