PRICING OF OPTIONS ON EUROPEAN CO2 ALLOWANCE FUTURES USING DISCONTINOUS GALERKIN METHOD

被引：0
|
作者：
Tichy, T. [1 ]
Hozman, J. [2 ]
机构：
[1] VSB Tech Univ Ostrava, Fac Econ, 33 Sokolskatrida St, Ostrava 70200, Czech Republic
[2] Tech Univ Liberec, Fac Sci Humanities & Educ, 1402 Studentska St, Liberec 46117, Czech Republic
来源：
JOURNAL OF ENVIRONMENTAL PROTECTION AND ECOLOGY | 2020年 / 21卷 / 05期
关键词：
carbon allowance derivative; futures options; European call; carbon pricing equation; discontinuous Galerkin method; experimental analysis; numerical solution; PRICES;
D O I：
暂无
中图分类号：
X [环境科学、安全科学];
学科分类号：
08 ; 0830 ;
摘要：
Emission allowances constitute a key tool in reducing greenhouse gas emissions in order to minimise the impact of global economy on the increase of global mean temperature. In order to support liquid trading with the allowances and related derivative products, ability to detect the fair price is needed. In this paper we have developed efficient numerical approach based on discontinuous Galerkin method for pricing of European options on CO2 EUA futures contracts. An experimental study with various maturities and underlying volatilities shows apparent improvement against alternative study using conventional finite value method.
引用
收藏
页码：1639 / 1645
页数：7
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