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Raport Badawczy = Research Report ; RB/7/2005
Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
18 pages ; 21 cm ; Bibliography p. 15-18
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.
Raport Badawczy = Research Report
Creative Commons Attribution BY 4.0 license
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: ; -
Systems Research Institute of the Polish Academy of Sciences
Library of Systems Research Institute PAS
8 paź 2020
17 wrz 2020
0
https://rcin.org.pl./publication/175133
Nazwa wydania | Data |
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RB-2005-07 : Nowak Piotr Władysław, Romaniuk Maciej Piotr : Pricing financial instruments arising from Kyoto Protocol | 8 paź 2020 |
Nowak, Piotr Romaniuk, Maciej
Nowak, Piotr Romaniuk, Maciej
Nowak, Piotr Romaniuk, Maciej
Nowak, Piotr Romaniuk, Maciej
Nowak, Piotr Romaniuk, Maciej
Nowak, Piotr Nycz, Piotr Romaniuk, Maciej
Nowak, Piotr Nycz, Piotr Romaniuk, Maciej
Jęda, Waldemar Paweł Jonas, Matthias Nahorski, Zbigniew (1945– )