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Applying fuzzy parametersin pricing financial derivatives inspiredby the kyoto protocol

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Author Info

  • Piotr Nowak

    ()
    (Systems Research Institute, Polish Academy of Sciences, Poland)

  • Maciej Romaniuk

    ()
    (Systems Research Institute, Polish Academy of Sciences, Poland)

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    Abstract

    The emission trading is proposed in the Kyoto Protocol. An appropriate market and the market of financial derivatives for allowances will be established. Using the neutral martingale method and Monte Carlo simulations, we propose a stochastic model with a pricing formula, which may be useful for an evaluation of derivatives inspired by the Kyoto Protocol.

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    File URL: http://www.ioz.pwr.wroc.pl/boid/artykuly/4-2009/art-5-nowak.pdf
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    Bibliographic Info

    Article provided by Wroclaw University of Technology, Institute of Organization and Management in its journal Operations Research and Decisions.

    Volume (Year): 4 (2009)
    Issue (Month): ()
    Pages: 77-91

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    Handle: RePEc:wut:journl:v:4:y:2009:p:77-91

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    Web page: http://www.ioz.pwr.wroc.pl/
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    Related research

    Keywords: option pricing; financial derivatives; Kyoto Protocol; martingale method; fuzzy parameters;

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    1. Cason, T.N. & Gangadharan, L., 1997. "An Experimental Study of Electronic Bulletin Board Trading for Emission Permits," Department of Economics - Working Papers Series 592, The University of Melbourne.
    2. Lemming, Jacob, 2003. "Financial risks for green electricity investors and producers in a tradable green certificate market," Energy Policy, Elsevier, vol. 31(1), pages 21-32, January.
    3. R. Devlin & R. Grafton, 1994. "Tradeable permits, missing markets, and technology," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 4(2), pages 171-186, April.
    4. Montero, Juan-Pablo, 1998. "Marketable pollution permits with uncertainty and transaction costs," Resource and Energy Economics, Elsevier, vol. 20(1), pages 27-50, March.
    5. Stavins Robert N., 1995. "Transaction Costs and Tradeable Permits," Journal of Environmental Economics and Management, Elsevier, vol. 29(2), pages 133-148, September.
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