Applying fuzzy parameters in pricing financial derivatives inspired by Kyoto Protocol

Piotr Nowak and Maciej Romaniuk ()

Operations Research and Decisions, 2009, vol. 19, issue 4, 77-91

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.

Keywords: option pricing; financial derivatives; Kyoto Protocol; martingale method; fuzzy parameters (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:4:y:2009:p:77-91:id:147

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