Design of green bonds by double-barrier options

DOI10.3934/DCDSS.2020110zbMATH Open1443.91304OpenAlexW2971680893WikidataQ127231384 ScholiaQ127231384MaRDI QIDQ2182829FDOQ2182829

Song Wang, Shuhua Zhang, Zhuo Yang

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• Option pricing when underlying stock returns are discontinuous
• Multinomial Approximating Models for Options with k State Variables
• Analysis of quadrature methods for pricing discrete barrier options
• An exact analytical solution for discrete barrier options
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• Pricing double-barrier options under a flexible jump diffusion model
• An analytic expansion method for the valuation of double-barrier options under a stochastic volatility model
• Pricing inflation-linked bonds

Cited In (1)

• Preface: Advances in theory and real world applications of control and dynamic optimization

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