Emission allowance as a derivative on commodity-spread

DOI10.1007/S10690-013-9164-5MaRDI QIDQ356764zbMATH OpenOpenAlexFDO

Authors Katsushi Nakajima, Kazuhiko Ohashi

Publication date 26 July 2013

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-013-9164-5

zbMATH Keywords

energyderivativecommodity pricesemission allowancehedging strategy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Recommendations

• Risk-neutral models for emission allowance prices and option values
• The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing
• PRICING AND HEDGING IN CARBON EMISSIONS MARKETS
• Market-consistent modeling for cap-and-trade schemes and application to option pricing

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• A model of intertemporal emission trading, banking, and borrowing
• Cap-and-trade properties under different hybrid scheme designs
• Dynamic behavior of CO\(_2\) spot prices
• The economics of pollution permit banking in the context of Title IV of the 1990 Clean Air Act Amendments
• The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing

Cited in

(3)

• Which carbon derivatives are applicable in practice? A case study of a European steel company.
• Risk-neutral models for emission allowance prices and option values
• Emission permits option value evaluation model

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