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

AUTOR(ES)

Batista, Fabio Rodrigo Siqueira, Baidya, Tara Keshar Nanda, Teixeira, José Paulo, Melo, Albert Cordeiro Geber

FONTE

Pesqui. Oper.

DATA DE PUBLICAÇÃO

2013-12

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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