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Pricing financial instruments arising from Kyoto Protocol
Subtitle:Raport Badawczy = Research Report ; RB/7/2005
Creator:Nowak, Piotr : Autor ; Romaniuk, Maciej : Autor
Publisher:Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
Place of publishing: Date issued/created: Description:18 stron ; 21 cm ; Bibliografia s. 15-18
Type of object: Subject and Keywords:Kyoto protocol ; Black scholes model
Abstract:This article is devoted to presentation of the underlying asset trajectory model which may be appropriate for the emissions allowances market arising from Kyoto Protocol. In this paper some general aspects of such market are also discussed. The stochastic process, which is generalization of Black - Scholes model, is presented. For this process, the suitable neutral martingale measure methodology and application of simulations is provided.
Relation:Raport Badawczy = Research Report
Resource type: Detailed Resource Type: Source: Language: Language of abstract: Rights:Licencja Creative Commons Uznanie autorstwa 4.0
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Digitizing institution:Instytut Badań Systemowych Polskiej Akademii Nauk
Original in:Biblioteka Instytutu Badań Systemowych PAN
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