Empirical performance of reduced-form models for emission permit prices

DOI10.1007/S11147-018-09152-7zbMATH Open1425.91352OpenAlexW3125590090MaRDI QIDQ2328779FDOQ2328779

Authors: Steffen Hitzemann, Marliese Uhrig-Homburg 

Publication date: 16 October 2019

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-018-09152-7

Recommendations

• The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing
• Risk-neutral models for emission allowance prices and option values
• Market-consistent modeling for cap-and-trade schemes and application to option pricing
• Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions
• Market design for emission trading schemes

zbMATH Keywords

option pricingprice dynamicsemission permitsenvironmental financecarbon derivatives

Mathematics Subject Classification ID

Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Cites Work

• Time series analysis by state space methods
• Title not available (Why is that?)
• Market design for emission trading schemes
• Optimal stochastic control and carbon price formation
• Dynamic behavior of CO\(_2\) spot prices
• The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing
• Cap-and-trade properties under different hybrid scheme designs
• Risk-neutral models for emission allowance prices and option values

Cited In (7)

• Emission permits option value evaluation model
• Numerical simulation for European and American option of risks in climate change of Three Gorges Reservoir Area
• Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions
• LP models for pricing diffuse nitrate discharge permits
• Emissions trading with rolling horizons
• Modeling and computation of mean field game with compound carbon abatement mechanisms
• Carbon spot prices in equilibrium frameworks associated with climate change

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