Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process

Detalhes bibliográficos
Autor(a) principal: Batista,Fabio Rodrigo Siqueira
Data de Publicação: 2013
Outros Autores: Baidya,Tara Keshar Nanda, Teixeira,José Paulo, Melo,Albert Cordeiro Geber
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Pesquisa operacional (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382013000300003
Resumo: The objective of this paper is to verify the robustness of the Least Square Monte Carlo and Grant, Vora & Weeks methods when used to determine the incremental payoff of the carbon market for renewable electricity generation projects, considering that the behavior of the price of Certified Emission Reductions, otherwise known as Carbon Credits, may be modeled using a jump-diffusion process. In addition, this paper analyses particular characteristics, such as absence of monotonicity, found in trigger curves obtained through use of the Grant, Vora & Weeks method to valuate these types of project.
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spelling Determination of the carbon market incremental payoff considering a stochastic jump-diffusion processleast square Monte CarlograntVora & Weeksjump-diffusion processcarbon marketrenewable sources of energyThe objective of this paper is to verify the robustness of the Least Square Monte Carlo and Grant, Vora & Weeks methods when used to determine the incremental payoff of the carbon market for renewable electricity generation projects, considering that the behavior of the price of Certified Emission Reductions, otherwise known as Carbon Credits, may be modeled using a jump-diffusion process. In addition, this paper analyses particular characteristics, such as absence of monotonicity, found in trigger curves obtained through use of the Grant, Vora & Weeks method to valuate these types of project.Sociedade Brasileira de Pesquisa Operacional2013-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382013000300003Pesquisa Operacional v.33 n.3 2013reponame:Pesquisa operacional (Online)instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)instacron:SOBRAPO10.1590/S0101-74382013000300003info:eu-repo/semantics/openAccessBatista,Fabio Rodrigo SiqueiraBaidya,Tara Keshar NandaTeixeira,José PauloMelo,Albert Cordeiro Gebereng2013-12-16T00:00:00Zoai:scielo:S0101-74382013000300003Revistahttp://www.scielo.br/popehttps://old.scielo.br/oai/scielo-oai.php||sobrapo@sobrapo.org.br1678-51420101-7438opendoar:2013-12-16T00:00Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)false
dc.title.none.fl_str_mv Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process
title Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process
spellingShingle Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process
Batista,Fabio Rodrigo Siqueira
least square Monte Carlo
grant
Vora & Weeks
jump-diffusion process
carbon market
renewable sources of energy
title_short Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process
title_full Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process
title_fullStr Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process
title_full_unstemmed Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process
title_sort Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process
author Batista,Fabio Rodrigo Siqueira
author_facet Batista,Fabio Rodrigo Siqueira
Baidya,Tara Keshar Nanda
Teixeira,José Paulo
Melo,Albert Cordeiro Geber
author_role author
author2 Baidya,Tara Keshar Nanda
Teixeira,José Paulo
Melo,Albert Cordeiro Geber
author2_role author
author
author
dc.contributor.author.fl_str_mv Batista,Fabio Rodrigo Siqueira
Baidya,Tara Keshar Nanda
Teixeira,José Paulo
Melo,Albert Cordeiro Geber
dc.subject.por.fl_str_mv least square Monte Carlo
grant
Vora & Weeks
jump-diffusion process
carbon market
renewable sources of energy
topic least square Monte Carlo
grant
Vora & Weeks
jump-diffusion process
carbon market
renewable sources of energy
description The objective of this paper is to verify the robustness of the Least Square Monte Carlo and Grant, Vora & Weeks methods when used to determine the incremental payoff of the carbon market for renewable electricity generation projects, considering that the behavior of the price of Certified Emission Reductions, otherwise known as Carbon Credits, may be modeled using a jump-diffusion process. In addition, this paper analyses particular characteristics, such as absence of monotonicity, found in trigger curves obtained through use of the Grant, Vora & Weeks method to valuate these types of project.
publishDate 2013
dc.date.none.fl_str_mv 2013-12-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382013000300003
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382013000300003
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0101-74382013000300003
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Sociedade Brasileira de Pesquisa Operacional
publisher.none.fl_str_mv Sociedade Brasileira de Pesquisa Operacional
dc.source.none.fl_str_mv Pesquisa Operacional v.33 n.3 2013
reponame:Pesquisa operacional (Online)
instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron:SOBRAPO
instname_str Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
instacron_str SOBRAPO
institution SOBRAPO
reponame_str Pesquisa operacional (Online)
collection Pesquisa operacional (Online)
repository.name.fl_str_mv Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)
repository.mail.fl_str_mv ||sobrapo@sobrapo.org.br
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