Pricing options on EU ETS certificates with a time-varying market price of risk model

DOI10.1007/978-3-319-23425-0_14zbMATH Open1335.91089OpenAlexW2223449432MaRDI QIDQ2801802FDOQ2801802

Authors: Ya Wen, Rüdiger Kiesel 

Publication date: 22 April 2016

Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-23425-0_14

Recommendations

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zbMATH Keywords

option pricingmarket price of riskrisk-neutral valuationcarbon marketEUA futures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Cites Work

• Market design for emission trading schemes
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Optimal stochastic control and carbon price formation
• Dynamic behavior of CO\(_2\) spot prices
• A model of intertemporal emission trading, banking, and borrowing
• Risk-neutral models for emission allowance prices and option values
• Quantitative modeling of emission markets

Cited In (2)

• On autoregressive measurement errors in a two-factor model
• On correlated measurement errors in the Schwartz-Smith two-factor model

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