Pricing of options on european CO2 allowance futures using discontinous Galerkin method
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10245945" target="_blank" >RIV/61989100:27510/20:10245945 - isvavai.cz</a>
Alternative codes found
RIV/46747885:24510/20:00008635
Result on the web
<a href="https://www.scopus.com/record/display.uri?eid=2-s2.0-85096538303&origin=resultslist&sort=plf-f&src=s&st1=tichy%2c+t&st2=&sid=92abcf56036fcf31e9c23a6f44de026b&sot=b&sdt=b&sl=21&s=AUTHOR-NAME%28tichy%2c+t%29&relpos=10&citeCnt=0&searchTerm=" target="_blank" >https://www.scopus.com/record/display.uri?eid=2-s2.0-85096538303&origin=resultslist&sort=plf-f&src=s&st1=tichy%2c+t&st2=&sid=92abcf56036fcf31e9c23a6f44de026b&sot=b&sdt=b&sl=21&s=AUTHOR-NAME%28tichy%2c+t%29&relpos=10&citeCnt=0&searchTerm=</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Pricing of options on european CO2 allowance futures using discontinous Galerkin method
Original language description
Emission allowances constitute a key tool in reducing greenhouse gas emissions in order to minimise the impact of global economy on the increase of global mean temperature. In order to support liquid trading with the allowances and related derivative products, ability to detect the fair price is needed. In this paper we have developed efficient numerical approach based on discontinuous Galerkin method for pricing of European options on CO2 EUA futures contracts. An experimental study with various maturities and underlying volatilities shows apparent improvement against alternative study using conventional finite value method. (C) 2020, Scibulcom Ltd.. All rights reserved.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
<a href="/en/project/GA18-13951S" target="_blank" >GA18-13951S: New approaches to financial time series modelling based on soft computing</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Environmental Protection and Ecology
ISSN
1311-5065
e-ISSN
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Volume of the periodical
21
Issue of the periodical within the volume
5
Country of publishing house
BG - BULGARIA
Number of pages
7
Pages from-to
1639-1645
UT code for WoS article
000588763500007
EID of the result in the Scopus database
2-s2.0-85096538303