Pricing of options on European Co2 allowance futures using discontinous Galerkin method

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dc.contributor.authorTichý, Tomáš
dc.contributor.authorHozman, Jiří
dc.date.accessioned2021-02-04T11:08:01Z
dc.date.available2021-02-04T11:08:01Z
dc.date.issued2020
dc.description.abstractEmission allowances constitute a key tool in reducing greenhouse gas emissions in order to minimise the impact of global economy on the increase of global mean temperature. In order to support liquid trading with the allowances and related derivative products, ability to detect the fair price is needed. In this paper we have developed efficient numerical approach based on discontinuous Galerkin method for pricing of European options on CO2 EUA futures contracts. An experimental study with various maturities and underlying volatilities shows apparent improvement against alternative study using conventional finite value method.cs
dc.description.firstpage1639cs
dc.description.issue5cs
dc.description.lastpage1645cs
dc.description.sourceWeb of Sciencecs
dc.description.volume21cs
dc.identifier.citationJournal of Environmental Protection and Ecology. 2020, vol. 21, issue 5, p. 1639-1645.cs
dc.identifier.issn1311-5065
dc.identifier.urihttp://hdl.handle.net/10084/142639
dc.identifier.wos000588763500007
dc.language.isoencs
dc.publisherSciBulCom Ltd.cs
dc.relation.ispartofseriesJournal of Environmental Protection and Ecologycs
dc.subjectcarbon allowance derivativecs
dc.subjectfutures optionscs
dc.subjectEuropean callcs
dc.subjectcarbon pricing equationcs
dc.subjectdiscontinuous Galerkin methodcs
dc.subjectexperimental analysiscs
dc.subjectnumerical solutioncs
dc.titlePricing of options on European Co2 allowance futures using discontinous Galerkin methodcs
dc.typearticlecs
dc.type.statusPeer-reviewedcs

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