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Convenience Yield Value of International Emission Allowance Based on Call Options
Author
Source
Journal of Computational Environmental Sciences
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-06-29
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Engineering Sciences and Information Technology
Abstract EN
Convenience yield is call options; spot holders attain excess investment revenues through holding spot assets instituted futures assets.
Based on the hypothesis of convenience yields, our empirical results show that monthly convenience yield of emission allowance has significant options feature; convenience yield has strong correlation with price spread between spot and futures and their price volatility.
The market information set is helpful to adjust portfolio policy and improve portfolio investment revenues of emission allowances.
American Psychological Association (APA)
Chang, Kai. 2014. Convenience Yield Value of International Emission Allowance Based on Call Options. Journal of Computational Environmental Sciences،Vol. 2014, no. 2014, pp.1-5.
https://search.emarefa.net/detail/BIM-511905
Modern Language Association (MLA)
Chang, Kai. Convenience Yield Value of International Emission Allowance Based on Call Options. Journal of Computational Environmental Sciences No. 2014 (2014), pp.1-5.
https://search.emarefa.net/detail/BIM-511905
American Medical Association (AMA)
Chang, Kai. Convenience Yield Value of International Emission Allowance Based on Call Options. Journal of Computational Environmental Sciences. 2014. Vol. 2014, no. 2014, pp.1-5.
https://search.emarefa.net/detail/BIM-511905
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-511905