Derivative pricing and hedging on carbon market

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.
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Contributeur : Dominique Guégan <>
Soumis le : mardi 29 novembre 2011 - 13:36:55
Dernière modification le : jeudi 4 octobre 2018 - 18:28:03


  • HAL Id : halshs-00646182, version 1



Dominique Guegan, Marius-Cristian Frunza. Derivative pricing and hedging on carbon market. 2009 International Conference on Computer and Development, Feb 2009, Kota Kinabalu, Malaysia. ⟨halshs-00646182⟩



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