Modeling CO[subscript 2] emission allowance derivatives

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dc.contributor.advisor Dodds, J. C. (James Colin)
dc.creator Zhang, Jing Yu
dc.date.accessioned 2013-10-04T18:27:07Z
dc.date.available 2013-10-04T18:27:07Z
dc.date.issued 2013
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/25273
dc.description 1 online resource ( iii, 32 p.) : col. ill.
dc.description Includes abstract.
dc.description Includes bibliographical references (p. 28-32).
dc.description.abstract Efficient pricing of carbon derivative product is the core of the EU-ETS system, which plays an important role in keeping stability and developing the carbon financial market. The volatility of the underlying assets is the essential factor, so how to get the features of the volatility effectively becomes a key problem. Although the B-S model gives a classic tool for option pricing, it is based on the assumption that the volatility is constant. Increasingly, the research finds that financial data exhibit fat-tail and high kurtosis, so the assumption of constant volatility is not suitable. In this paper we first analyse the carbon emissions trading market, and then we use a GARCH model to appropriately reproduce the dynamics of the EUA futures` returns. We obtain the conclusions that GARCH (1,1) model is appropriately to reproduce the futures dynamics. en_CA
dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title Modeling CO[subscript 2] emission allowance derivatives en_CA
dc.title.alternative Modeling CO2 emission allowance derivatives
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)


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