Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach

DOI10.1137/140987365zbMath1339.91118arXiv1011.3736OpenAlexW2082166031MaRDI QIDQ2808243

S. D. Howison, Daniel C. Schwarz

Publication date: 20 May 2016

Published in: SIAM Review, SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.3736

zbMATH Keywords

backward stochastic differential equationcap-and-tradesemilinear partial differential equationenvironmental financeemission markets

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

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