Title :
Notice of Retraction
Derivative Pricing and Hedging on Carbon Market
Author :
Paul, E. ; Frunza, M.-C. ; Guegan, D.
Author_Institution :
Structuring Dept., Sagacarbon, Paris, France
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain the reasons of the non-Gaussian behavior of this market focusing mainly upon jump diffusions and generalized hyperbolic distributions. These models are used for pricing and hedging of carbon options. We estimate the pricing accuracy of each model and the capacity to provide an efficient dynamic hedging.
Keywords :
carbon; environmental economics; marketing; pricing; share prices; CO2 market; carbon dioxide; carbon options pricing; derivative pricing; dynamic hedging; econometric approach; hyperbolic distributions; jump diffusions; non-Gaussian behavior; Calibration; Carbon dioxide; Econometrics; Electronic mail; Gas industry; Global warming; Motion estimation; Pricing; Protocols; Solid modeling; EUA; NIG; carbon; estimation; hedging; jumps; options; pricing;
Conference_Titel :
Computer Technology and Development, 2009. ICCTD '09. International Conference on
Conference_Location :
Kota Kinabalu
Print_ISBN :
978-0-7695-3892-1
DOI :
10.1109/ICCTD.2009.119
