Predicting EUA Prices in EU ETS using Monte Carlo Simulation with Geometric Brownian Motion model
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| Dokumentumtípus: | Diplomadolgozat |
| Kulcsszavak: | Carbon Markets EU ETS Frecasting Geometric Brownian motion Monte Carlo Simulation |
| Online Access: | http://dolgozattar.uni-bge.hu/53268 |
| Kivonat: | This research employs advanced Monte Carlo Simulation techniques, specifically utilizing the Geometric Brownian Motion (GBM) model, to comprehensively examine the historical trends and forecast future trajectories of EU Allowance (EUA) prices within the European Union Emissions Trading System (EU ETS). The outcomes provide a nuanced understanding of the market's volatility, crucial for investors in devising robust risk management strategies. Notably, the observed variability in predicted prices underscores the dynamic nature of the carbon credit market, emphasizing the necessity for adaptive regulatory frameworks. Regulators play a pivotal role in ensuring market stability, fostering investor confidence, and effectively incentivizing emission reductions. Furthermore, the study emphasizes the significance of collaborative efforts between stakeholders, urging a cohesive approach to navigate the evolving landscape of emissions trading and climate action initiatives within the EU ETS. By leveraging these insights, stakeholders can make informed decisions, aligning investment strategies with regulatory frameworks to steer the market towards sustainability and success in achieving environmental goals. |
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