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Stochastic volatility models for asset returns with leverage, skewness and heavy-tails via scale mixture

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Carbon emission permit price volatility reduction through financial options

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Carbon Emission Permit Price Volatility Reduction via Financial Options

Xu, Li; Deng, Shijie; Thomas, Valerie - 2014

We develop a stylized model to investigate the impact of financial options on reducing carbon permit price volatility under a cap-and-trade system. The existence of an option market provides a mechanism to hedge the uncertainty of future spot prices and is a stimulus for investment in carbon...

Persistent link: https://www.econbiz.de/10014143881