Convenience yields and options value on futures spread for carbon emission

CCIE 2011 - Proceedings: 2011 IEEE 2nd International Conference on Computing, Control and Industrial Engineering

Volumn 2, Issue , 2011, Pages 182-185

  Chang, Kai ^a   Wang, Susheng ^a   Chang, Hao ^b  

^a HARBIN INSTITUTE OF TECHNOLOGY   (China)

^b TIANJIN POLYTECHNIC UNIVERSITY   (China)

Author keywords

convenience yields; cost of carry theory; options of futures spread

Indexed keywords

BEHAVIORAL CHARACTERISTICS; CARBON EMISSIONS; CONVENIENCE YIELD; EMPIRICAL RESULTS; FUTURES CONTRACT; OPTIONS OF FUTURES SPREAD; OPTIONS PRICING; TIME VARYING;

ECONOMICS; INDUSTRIAL ENGINEERING;

INDUSTRIAL EMISSIONS;

EID: 80053201734     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CCIENG.2011.6008097     Document Type: Conference Paper

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