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Maguolo, Gianluca (2017) Risk-Neutral Pricing of Emission Related Derivatives: a Numerical Solution. [Magistrali biennali]

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Abstract

We introduce the problem of pricing emission allowances introducing one basic model from which we obtain a forward-backward stochastic differential equation (FBSDE) with a discontinuous terminal condition. We show that, under some conditions on the forward component, the solution of the equation exists and is unique. Then we solve the equation using a relation between the solution of the FBSDE and the solution of a quasi-linear partial differential equation that we are able to compute numerically. Finally, we apply the numerical method to a simple model that considers delay in the information.

Item Type:Magistrali biennali
Subjects:Area 01 - Scienze matematiche e informatiche > MAT/06 Probabilità e statistica matematica
Codice ID:56541
Relatore: Vargiolu, Tiziano and Callegaro, Giorgia
Data della tesi:22 September 2017
Biblioteca:Polo di Scienze > Biblioteca di Matematica

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