Singular forward-backward stochastic differential equations and emissions derivatives (Q1950264)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6162086
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Singular forward-backward stochastic differential equations and emissions derivatives |
scientific article; zbMATH DE number 6162086 |
Statements
Singular forward-backward stochastic differential equations and emissions derivatives (English)
0 references
10 May 2013
0 references
The authors are interested in modelling \(CO_{2}\) emissions, and in particular the valuation \(CO_{2}\) emission allowances. For this they propose two forward-backward stochastic differential equations with singular terminal condition as models. They also provide a first order Taylor expansion and show how to numerically calibrate some of their models to be used in \(CO_{2}\) option pricing.
0 references
stochastic analysis
0 references
forward-backward stochastic differential equations
0 references
emissions derivatives
0 references
0 references
0 references
0.8011111617088318
0 references
0.7883324027061462
0 references
0.75300532579422
0 references
