An analytical framework to price long-dated climate-exposed assets

DOI10.3982/QE2570MaRDI QIDQ6850452zbMATH OpenFDO

Authors Pauline Chikhani, Jean-Paul Renne

Publication date 3 March 2026

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/QE2570

zbMATH Keywords

climate linkersintegrated assessment modeltemperature risk premiumterm structure model

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Affine processes and applications in finance
• Identifying long-run risks: a Bayesian mixed-frequency approach
• Staying at zero with affine processes: an application to term structure modelling
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The climate in climate economics
• The Market Model of Interest Rate Dynamics
• The pricing of options and corporate liabilities
• Tipping elements in the Earth's climate system
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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