{"title":"关于撤销碳市场衍生品定价与套期保值的通知","authors":"E. Paul, Marius-Christian Frunza, D. Guégan","doi":"10.1109/ICCTD.2009.119","DOIUrl":null,"url":null,"abstract":"The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain the reasons of the non-Gaussian behavior of this market focusing mainly upon jump diffusions and generalized hyperbolic distributions. These models are used for pricing and hedging of carbon options. We estimate the pricing accuracy of each model and the capacity to provide an efficient dynamic hedging.","PeriodicalId":269403,"journal":{"name":"2009 International Conference on Computer Technology and Development","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2009-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Notice of RetractionDerivative Pricing and Hedging on Carbon Market\",\"authors\":\"E. Paul, Marius-Christian Frunza, D. Guégan\",\"doi\":\"10.1109/ICCTD.2009.119\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain the reasons of the non-Gaussian behavior of this market focusing mainly upon jump diffusions and generalized hyperbolic distributions. These models are used for pricing and hedging of carbon options. We estimate the pricing accuracy of each model and the capacity to provide an efficient dynamic hedging.\",\"PeriodicalId\":269403,\"journal\":{\"name\":\"2009 International Conference on Computer Technology and Development\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-11-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2009 International Conference on Computer Technology and Development\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ICCTD.2009.119\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2009 International Conference on Computer Technology and Development","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICCTD.2009.119","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Notice of RetractionDerivative Pricing and Hedging on Carbon Market
The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain the reasons of the non-Gaussian behavior of this market focusing mainly upon jump diffusions and generalized hyperbolic distributions. These models are used for pricing and hedging of carbon options. We estimate the pricing accuracy of each model and the capacity to provide an efficient dynamic hedging.
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