English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 90671/120716 (75%)
Visitors : 24987881      Online Users : 282
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/79626
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/79626

    Title: Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium
    Authors: Li, Chang-Yi;Chen, Son-Nan;Lin, Shih-Kuei
    Contributors: 金融學系
    Keywords: European Union Allowance;Esscher transform;jump diffusion model;Black's formula
    Date: 2015
    Issue Date: 2015-12-10 16:16:09 (UTC+8)
    Abstract: Carbon markets trade the spot European Union Allowance (EUA), with one EUA providing the right to emit one tone of carbon dioxide (CO2). We examine the spot EUA returns in BlueNext that exhibit jumps and a volatility clustering feature. We propose a regime-switching jump diffusion model (RSJM) with a hidden Markov chain to capture not only a volatility clustering feature, but also the dynamics of the spot EUA returns that are influenced by change in the CO2 emission economic conditions. In addition, the switching jump intensities of the RSJM are shown to be affected by change in the carbon-market macroeconomic environment. We further derive the theoretical futures-option prices with a constant convenience yield under the RSJM via the generalized Esscher transform where regime-switching risk is priced with a risk premium. The empirical study shows that the derived futures-option pricing model under the RSJM with regime-switching risk is a more complete model than a jump diffusion model for pricing CO2 options.
    Relation: The European Journal of Finance
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/1351847X.2015.1050526
    DOI: 10.1080/1351847X.2015.1050526
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback