Pricing and valuation of carbon swap in uncertain finance market

DOI10.1007/S10700-024-09423-ZzbMATH Open1544.91334MaRDI QIDQ6606136FDOQ6606136

Authors: Z. Liu, Yanbin Li 

Publication date: 16 September 2024

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Recommendations

• Pricing of equity swaps in uncertain financial market
• Valuing currency swap contracts in uncertain financial market
• Barrier swaption pricing problem in uncertain financial market
• China's carbon emission allowance prices forecasting and option designing in uncertain environment
• Modeling and Computation of CO₂Allowance Derivatives Under Jump-Diffusion Processes

zbMATH Keywords

uncertainty theoryuncertain differential equationcarbon swap pricingcarbon swap valuation

Mathematics Subject Classification ID

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

Cites Work

• Uncertainty theory
• Existence and uniqueness theorem for uncertain differential equations
• Uncertain term structure model of interest rate
• Uncertainty theory
• Residual analysis and parameter estimation of uncertain differential equations
• Uncertain hypothesis test for uncertain differential equations
• Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption
• Solution method and parameter estimation of uncertain partial differential equation with application to China's population
• Partial derivatives of uncertain fields and uncertain partial differential equations
• Higher-order derivative of uncertain process and higher-order uncertain differential equation
• Estimation of uncertainty distribution function by the principle of least squares

Cited In (3)

• China's carbon emission allowance prices forecasting and option designing in uncertain environment
• Supply chain management based on uncertainty theory: a bibliometric analysis and future prospects
• Carbon spot prices in equilibrium frameworks associated with climate change

This page was built for publication: Pricing and valuation of carbon swap in uncertain finance market

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6606136)