政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/79626

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109948/140897 (78%)
Visitors : 46081385 Online Users : 1170

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/79626

Please use this identifier to cite or link to this item: https://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 林士貴
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 link:	http://dx.doi.org/10.1080/1351847X.2015.1050526
DOI:	10.1080/1351847X.2015.1050526
Appears in Collections:	[Department of Money and Banking] Periodical Articles

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML2	820	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...