Imagen de Portada

Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Serafini, Simone, Bormetti, Giacomo
Formato:	Preprint
Publicado:	2025
Materias:	Pricing of Securities General Finance
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Deep calibration with random grids
por: Baschetti, Fabio, et al.
Publicado: (2023)

Efficient Hamiltonian Simulation for Solving Option Price Dynamics
por: Gonzalez-Conde, Javier, et al.
Publicado: (2021)

Common Idiosyncratic Quantile Factors and Asset Prices
por: Barunik, Jozef, et al.
Publicado: (2022)

Fundamentals of Perpetual Futures
por: He, Songrun, et al.
Publicado: (2022)

Crypto Pricing with Hidden Factors
por: Brigida, Matthew
Publicado: (2026)

Pricing Barrier Options with DeepBSDEs
por: Ganesan, Narayan, et al.
Publicado: (2020)

Empirical Models of the Time Evolution of SPX Option Prices
por: Brini, Alessio, et al.
Publicado: (2025)

Three Remarks On Asset Pricing
por: Olkhov, Victor
Publicado: (2021)

Stochastic Expansion for the Pricing of Asian and Basket Options
por: Floc'h, Fabien Le
Publicado: (2024)

Market-Based Asset Price Probability
por: Olkhov, Victor
Publicado: (2022)

Market-Based Price Autocorrelation
por: Olkhov, Victor
Publicado: (2022)

Perpetual Futures Pricing
por: Ackerer, Damien, et al.
Publicado: (2023)

Risks of heterogeneously persistent higher moments
por: Barunik, Jozef, et al.
Publicado: (2021)

Volatility Shocks and Currency Returns
por: Babiak, Mykola, et al.
Publicado: (2021)

A Two-Step Longstaff Schwartz Monte Carlo Approach to Game Option Pricing
por: Wang, Ce
Publicado: (2024)

Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
por: Gnawali, Jagdish, et al.
Publicado: (2024)

Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
por: Floc'h, Fabien Le
Publicado: (2025)

Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
por: Halperin, Igor, et al.
Publicado: (2025)

Analytic Pricing of SOFR Futures Contracts with Smile and Skew
por: Romero-Bermúdez, Aurelio, et al.
Publicado: (2024)

The Endogenous Constraint: Hysteresis, Stagflation, and the Structural Inhibition of Monetary Velocity in the Bitcoin Network (2016-2025)
por: Soleimani, Hamoon
Publicado: (2025)

Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates
por: Ter-Avanesov, Boris, et al.
Publicado: (2024)

Amortizing Perpetual Options
por: Feinstein, Zachary
Publicado: (2025)

Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
por: Mensah, Abigail Anokyewaa, et al.
Publicado: (2026)

Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943
por: Morimoto, Keiichi, et al.
Publicado: (2026)

Fair sharing ratios of Profit and Loss sharing contracts
por: Sagna, Abass
Publicado: (2025)

Neural Term Structure of Additive Process for Option Pricing
por: Lin, Jimin, et al.
Publicado: (2024)

Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk
por: Dhandapani, Vikranth Lokeshwar, et al.
Publicado: (2024)

Neural Network Learning of Black-Scholes Equation for Option Pricing
por: Santos, Daniel de Souza, et al.
Publicado: (2024)

Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions
por: Olkhov, Victor
Publicado: (2023)

Expressions of Market-Based Correlations Between Prices and Returns of Two Assets
por: Olkhov, Victor
Publicado: (2024)

KANOP: A Data-Efficient Option Pricing Model using Kolmogorov-Arnold Networks
por: Handal, Rushikesh, et al.
Publicado: (2024)

Option Pricing on Automated Market Maker Tokens
por: Maymin, Philip Z.
Publicado: (2026)

Isogeometric Analysis for the Pricing of Financial Derivatives with Nonlinear Models: Convertible Bonds and Options
por: Kazbek, Rakhymzhan, et al.
Publicado: (2024)

A Taxonomy of Event-Linked Perpetual Futures: Variant Designs Beyond the Single-Market Binary Case
por: Nechepurenko, Maksym
Publicado: (2026)

An Explicit Solution to Black-Scholes Implied Volatility
por: Schadner, Wolfgang
Publicado: (2026)

CapOptix: An Options-Framework for Capacity Market Pricing
por: Roy, Millend, et al.
Publicado: (2025)

Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
por: Floc'h, Fabien Le
Publicado: (2025)

Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI
por: Huang, Allen Yikuan, et al.
Publicado: (2026)

Unifying Market Microstructure and Dynamic Asset Pricing
por: Lauria, Davide, et al.
Publicado: (2023)

Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models
por: Samet, Michael, et al.
Publicado: (2022)