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Applying fuzzy parameters in pricing financial derivatives inspired by Kyoto Protocol

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  • Piotr Nowak
  • Maciej Romaniuk

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.

Suggested Citation

  • Piotr Nowak & Maciej Romaniuk, 2009. "Applying fuzzy parameters in pricing financial derivatives inspired by Kyoto Protocol," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 19(4), pages 77-91.
    • Handle: RePEc:wut:journl:v:4:y:2009:p:77-91:id:147
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    References listed on IDEAS

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