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

DOI10.1007/S10700-024-09432-YMaRDI QIDQ6668720FDOQ6668720

Authors: Lifen Jia, Linya Zhang, Wei Chen 

Publication date: 22 January 2025

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

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zbMATH Keywords

uncertain differential equationcarbon emissions tradingprice forecastcarbon optionrolling window cross-validation

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (1)

• Pricing and valuation of carbon swap in uncertain finance market

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