China's carbon emission allowance prices forecasting and option designing in uncertain environment

DOI10.1007/S10700-024-09432-YMaRDI QIDQ6668720zbMATH OpenFDO

Authors Lifen Jia, Linya Zhang, Wei Chen

Publication date 22 January 2025

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

Full work available at URL https://doi.org/10.1007/S10700-024-09432-Y

zbMATH Keywords

carbon emissions tradingcarbon optionprice forecastrolling window cross-validationuncertain differential equation

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A new option pricing model for stocks in uncertainty markets
• A numerical method for solving uncertain differential equations
• American option pricing formula for uncertain financial market
• Cross validation for uncertain autoregressive model
• Parameter estimation of uncertain differential equation with application to financial market
• Pricing and carbon reduction decisions for a new uncertain dual-channel supply chain under cap-and-trade regulation
• Pricing and valuation of carbon swap in uncertain finance market
• Pricing of equity swaps in uncertain financial market
• Pricing of shout option in uncertain financial market
• Residual analysis and parameter estimation of uncertain differential equations
• Solution method and parameter estimation of uncertain partial differential equation with application to China's population
• Uncertain hypothesis test for uncertain differential equations
• Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption
• Uncertain term structure model of interest rate
• Uncertainty theory

Cited in

(5)

• Pricing and valuation of carbon swap in uncertain finance market
• Pricing of Asian knock-out options in uncertain environment
• Uncertain finance: a systematic review of recent advances
• Uncertain online portfolio selection with LSTM predictors
• Modeling product sales with uncertain differential equation: an application to Meituan

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