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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

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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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