Browsing Mathematics (Faculty of) by Author "Fang, Mingyu"
Now showing items 1-2 of 2
-
Lognormal Mixture Model for Option Pricing with Applications to Exotic Options
Fang, Mingyu (University of Waterloo, 2012-08-23)The Black-Scholes option pricing model has several well recognized deficiencies, one of which is its assumption of a constant and time-homogeneous stock return volatility term. The implied volatility smile has been studied ... -
Valuation of Carbon Emission Allowances and Sustainable Investment
Fang, Mingyu (University of Waterloo, 2019-09-25)Rising awareness of the impacts of climate change is leading to a rapid development of emission trading schemes (ETS) globally as a market-based means of emission control. Under a typical ETS, emission allowances are issued ...