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

页码：1639 / 1645

页数：7

共 50 条

[41] The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
Li, Hua
Ware, Antony
Di, Lan
Yuan, George
Swishchuk, Anatoliy
Yuan, Steven
FUZZY SETS AND SYSTEMS, 2018, 331 : 14 - 25
[42] AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD
Ke, Ziwie
Goard, Joanna
Zhu, Song-Ping
ANZIAM JOURNAL, 2018, 59 (03): : 349 - 369
[43] Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium
Li, Chang-Yi
Chen, Son-Nan
Lin, Shih-Kuei
EUROPEAN JOURNAL OF FINANCE, 2016, 22 (10): : 887 - 908
[44] Using real options to determine optimal funding strategies for CO2 capture, transport and storage projects in the European Union
Eckhause, Jeremy
Herold, Johannes
ENERGY POLICY, 2014, 66 : 115 - 134
[45] CO2 REMOVAL IN COMPETITION WITH OTHER OPTIONS FOR REDUCING CO2 EMISSIONS
OKKEN, PA
LAKO, P
GERBERS, D
KRAM, T
YBEMA, JR
ENERGY CONVERSION AND MANAGEMENT, 1992, 33 (5-8) : 737 - 745
[46] Sustainability analyses of CO2 sequestration and CO2 utilization as competing options for mitigating CO2 emissions
Parekh, Anirudh
Chaturvedi, Gauri
Dutta, Arnab
SUSTAINABLE ENERGY TECHNOLOGIES AND ASSESSMENTS, 2023, 55
[47] Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
Rad, Jamal Amani
Parand, Kourosh
APPLIED NUMERICAL MATHEMATICS, 2017, 115 : 252 - 274
[48] Carbon pricing and the elasticity of CO2 emissions
Rafaty, Ryan
Dolphin, Geoffroy
Pretis, Felix
ENERGY ECONOMICS, 2025, 144
[49] Pricing CO2 Direct Air Capture
Sutherland, Brandon R.
JOULE, 2019, 3 (07) : 1571 - 1573
[50] Review of the stochastic properties of CO2 futures prices
Chevallier, Julien
INTERNATIONAL JOURNAL OF GLOBAL ENERGY ISSUES, 2013, 36 (5-6) : 312 - 328

← 1 2 3 4 5 →