Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue The Annals of Applied Probability Année : 2012

Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives

Résumé

We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models for the valuation of CO2 emission allowances. Single phase cap-and-trade schemes lead readily to terminal conditions given by indicator functions of the forward component, and using fine partial differential equations estimates, we show that the existence theory of these equations, as well as the properties of the candidates for solution, depend strongly upon the characteristics of the forward dynamics. Finally, we give a first order Taylor expansion and show how to numerically calibrate some of these models for the purpose of CO2 option pricing.
Fichier principal
Vignette du fichier
Emissions_BSDEs_final.pdf (550.72 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00555591 , version 1 (13-01-2011)
hal-00555591 , version 2 (10-09-2011)

Identifiants

  • HAL Id : hal-00555591 , version 2

Citer

René Carmona, François Delarue, Gilles-Edouard Espinosa, Nizar Touzi. Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives. The Annals of Applied Probability, 2012, 23, pp.1086--1128. ⟨hal-00555591v2⟩
246 Consultations
324 Téléchargements

Partager

Gmail Facebook X LinkedIn More