Design of green bonds by double-barrier options

DOI10.3934/DCDSS.2020110MaRDI QIDQ2182829zbMATH OpenOpenAlexWikidataFDO

Authors Zhuo Yang, Shuhua Zhang, Song Wang

Publication date 26 May 2020

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdss.2020110

zbMATH Keywords

carbon pricecentral differencedouble-barrier optiongreen bond

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Recommendations

• De-risking of green investments through a green bond market -- empirics and a dynamic model
• On the pricing of defaultable bonds using the framework of barrier options
• Pricing options with Green's functions when volatility, interest rate and barriers depend on time
• Robust hedging of double touch barrier options
• Pricing double barrier options
• Double barrier options under Lévy processes
• scientific article; zbMATH DE number 1952942
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH

Cites work

• scientific article; zbMATH DE number 5562046 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
• An exact analytical solution for discrete barrier options
• Analysis of quadrature methods for pricing discrete barrier options
• Multinomial Approximating Models for Options with k State Variables
• Option pricing when underlying stock returns are discontinuous
• Pricing double-barrier options under a flexible jump diffusion model
• Pricing inflation-linked bonds
• The pricing of options and corporate liabilities

Cited in

(5)

• The valuation of carbon bonds linked with carbon price
• Governmental incentives for Green bonds investment
• De-risking of green investments through a green bond market -- empirics and a dynamic model
• Green targeted lending operations in the euro area
• Preface: Advances in theory and real world applications of control and dynamic optimization

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