SINGULAR FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND EMISSIONS DERIVATIVES

• 成果类型: Article
• 署名作者: Carmona, Rene; Delarue, Francois; Espinosa, Gilles-Edouard; Touzi, Nizar
• 署名单位: Princeton University; Universite Cote d'Azur; Institut Polytechnique de Paris; ENSTA Paris; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Ecole Polytechnique
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/12-AAP865
• 发表日期: 2013
• 页码: 1086-1128
• 关键词: uniqueness; EXISTENCE

摘要

We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models for the valuation of CO2 emission allowances. Single phase cap-and-trade schemes lead readily to terminal conditions given by indicator functions of the forward component, and using fine partial differential equations estimates, we show that the existence theory of these equations, as well as the properties of the candidates for solution, depend strongly upon the characteristics of the forward dynamics. Finally, we give a first order Taylor expansion and show how to numerically calibrate some of these models for the purpose of CO2 option pricing.