Build an option pricing model for environmental products that takes into consideration price floors and ceilings

This project was awarded to OriolAM for $394 USD.

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Project Budget
$250 - $750 USD
Total Bids
Project Description

Our firm trades in certain environmental commodities such as California Carbon, RGGI ("Regional Greenhouse Gas Initiative), NJ Solar Renewable Energy Credits and others that have certain mandated price (hard or soft) price floors and ceilings to mitigate price volatility. Most entities use a basic black scholes pricing model to price up options in these markets but such models assume a normal distribution of outcomes and do not properly take into consideration certain regulatory limitations such as price floors and banking.

We would like to engage you to construct an option pricing model in excel with an easy to use interface for us to price and produce all the relevant greeks taking into consideration the differences in the market. The model should be able to be adjusted easily by the end user such that we can adjust the floor and ceilings or banking rules and probabilities of such events.

This shall be a work for hire product where all work product is owned by our firm once produced and all copies are destroyed by the contractor once created.

Please submit a project level proposal at a fixed price and with completion expected in the next four weeks or earlier. Ongoing interaction during the project with our firm to make sure the work product is what we need will be required.

If the project is completed as requested and of a high level of quality, it expected we would continue with other assignments in the future on a regular basis.

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