Cetin, Umut and Verschuere, Michel (2007) Hedging under incomplete information: applications to emmissions markets. In: Vanmaele, Michèle, Deelstra, Griselda, De Schepper, Ann, Dhaene, Jan, Reynaerts, Huguette, Schoutens, Wim and Van Goethem, Paul, (eds.) Proceedings of the 5th Actuarial and Financial Mathematics Day: Contactforum [Proceedings of the 5th Actuarial and Financial Mat. Koninklijke Vlaamse Academie van Belgie voor Wetenschappen en Kunsten, Brussels, Belgium, pp. 33-42.
We study a stochastic model for a market with two tradeable assets where the price of the first asset is implied by the value of the second one and the state of a partially ‘hidden’ control process. We derive a closed expression for the value of the first asset, as a function of the price for the second and the most recent observation of the control process. We show how the model can be applied to EU markets for carbon emissions. The 5th Actuarial and Financial Mathematics Day took place on 9 February 2007.
|Item Type:||Book Section|
|Additional Information:||© 2007 KVAB|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
|Sets:||Departments > Statistics
Collections > Economists Online
|Date Deposited:||17 Sep 2010 15:23|
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