Subtitle:

Raport Badawczy = Research Report ; RB/7/2005

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Description:

18 pages ; 21 cm ; Bibliography p. 15-18

Type of object:

Book/Chapter

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

Detailed Resource Type:

Report

Resource Identifier:

oai:rcin.org.pl:139678

Source:

RB-2005-07

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open