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

DOI10.1137/140987365zbMath1339.91118arXiv1011.3736MaRDI 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 equation; cap-and-trade; semilinear partial differential equation; environmental finance; emission markets

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

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

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