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New article: Re-projecting volatility for European carbon option pricing

Av: Werner Tarjei Fiskergård | Publisert: 11.08.2015 10:00:51
Per_B_Solibakke@hiMolde_no

​​Per Bjarte Solibakke have published an article in the journal Sylwan.

The manuscript analyses option pricing contracts and studies microstructure differences between two synchronous European carbon markets. Firstly, the carbon markets report strike price differences. The InterContinental Exchange has both wider moneyness and a more pronounced volatility smile growing towards maturity. Secondly, towards maturity, the pricing errors for the re-projected volatility are stable. In contrast, the Black’76 model reports unstable and almost explosive pricing errors.

See Cristin for abstract and link to fulltext.

 

Sist oppdatert: 06.10.2015 15:20:55
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