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

DOI10.1080/00207160.2015.1080357zbMATH Open1386.91159OpenAlexW2221496557MaRDI QIDQ2804500FDOQ2804500

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

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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)

Cites Work

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Cited In (1)

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

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