Fitted finite volume method for pricing CO₂ futures option based on the underlying with non-log-normal distribution

DOI10.1080/00207160.2015.1080357MaRDI QIDQ2804500zbMATH OpenOpenAlexFDO

Authors Shuhua Chang, Jinghuan Li

Publication date 29 April 2016

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2015.1080357

zbMATH Keywords

option pricingfinite volume method\(\text{CO}_{2}\) emission allowancecompliance timenon-log-normal distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A novel exponentially fitted triangular finite element method for an advection-diffusion problem with boundary layers
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• A superconvergent fitted finite volume method for Black-Scholes equations governing European and American option valuation
• Dynamic behavior of CO\(_2\) spot prices
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Finite Volume Methods for Hyperbolic Problems
• Optimal stochastic control and carbon price formation
• Option pricing when underlying stock returns are discontinuous
• RELAXATION METHODS APPLIED TO DETERMINE THE MOTION, IN TWO DIMENSIONS, OF A VISCOUS FLUID PAST A FIXED CYLINDER
• Risk-neutral models for emission allowance prices and option values
• Stochastic calculus for finance. II: Continuous-time models.
• The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing
• Three-dimensional exponentially fitted conforming tetrahedral finite elements for the semiconductor continuity equations
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(1)

• Modeling and Computation of CO₂Allowance Derivatives Under Jump-Diffusion Processes

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