## Singular forward-backward stochastic differential equations and emissions derivatives.(English)Zbl 1276.60070

The authors are interested in modelling $$CO_{2}$$ emissions, and in particular the valuation $$CO_{2}$$ emission allowances. For this they propose two forward-backward stochastic differential equations with singular terminal condition as models. They also provide a first order Taylor expansion and show how to numerically calibrate some of their models to be used in $$CO_{2}$$ option pricing.

### MSC:

 60H30 Applications of stochastic analysis (to PDEs, etc.) 91G80 Financial applications of other theories 91G20 Derivative securities (option pricing, hedging, etc.)
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### References:

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