The valuation of futures options for emissions allowances under the term structure of stochastic multi-factors

WSEAS Transactions on Systems

Volumn 11, Issue 12, 2012, Pages 661-670

  Chang, Kai ^a   Wang, Su Sheng ^a   Ke, Peng ^a   Yu Rong, Huang ^a   Zhen, Yu ^a  

^a SHENZHEN UNIVERSITY   (China)

Author keywords

Emissions allowances; Futures options pricing; Futures pricing; Kalman filter; Stochastic multi factor; Term structure; Volatility

Indexed keywords

GENERAL MODEL; MARKET INFORMATION; MODEL ANALYSIS; MULTI FACTORS; MULTI-FACTOR; NUMERICAL EXAMPLE; OPTIONS MARKET; OPTIONS PRICING; OPTIONS TRADING; TERM STRUCTURE; VOLATILITY;

CARBON DIOXIDE; COMMERCE; ECONOMICS; KALMAN FILTERS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

FACTOR ANALYSIS;

EID: 84871592284     PISSN: 11092777     EISSN: 22242678     Source Type: Journal    
DOI: None     Document Type: Article

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