Modeling and Computation of CO<sub>2</sub>Allowance Derivatives Under Jump-Diffusion Processes (Q5153684)

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scientific article; zbMATH DE number 7405080
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Modeling and Computation of CO<sub>2</sub>Allowance Derivatives Under Jump-Diffusion Processes
scientific article; zbMATH DE number 7405080

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    Modeling and Computation of CO<sub>2</sub>Allowance Derivatives Under Jump-Diffusion Processes (English)
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    30 September 2021
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    \(\mathrm{CO}_2\) emission allowance
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    option pricing
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    jump diffusion
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    fitted finite volume method
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    partial integro-differential equation
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    fast Fourier transform
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