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

Pesquisa Operacional

Fabio Rodrigo Siqueira Batista²  Tara Keshar Nanda Baidya¹  José Paulo Teixeira¹  Albert Cordeiro Geber Melo¹ 

[1] ,Pontifícia Universidade Católica do Rio de Janeiro,Brazil

关键词: least square Monte Carlo;    grant;    Vora & Weeks;    jump-diffusion process;    carbon market;    renewable sources of energy;   

DOI  :  10.1590/S0101-74382013000300003

来源: SciELO

【 摘 要 】

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.

【 授权许可】

CC BY   
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