Dynamic behavior of CO₂ spot prices

DOI10.1016/J.JEEM.2008.03.003zbMATH Open1146.91355OpenAlexW2097736597MaRDI QIDQ953567FDOQ953567

Authors: B. E. Eshmatov 

Publication date: 6 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jeem.2008.03.003

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zbMATH Keywords

stochastic optimal controlemission tradingCO\(_{2}\) emission certificatesspot price process

Mathematics Subject Classification ID

Economic time series analysis (91B84) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Title not available (Why is that?)
• A model of intertemporal emission trading, banking, and borrowing
• The economics of pollution permit banking in the context of Title IV of the 1990 Clean Air Act Amendments
• The linear-Quadratic Control Problem: Some Recent Results and Outstanding Problems

Cited In (38)

• Thin versus thick CO\(_2\) market
• The valuation of clean spread options: linking electricity, emissions and fuels
• Empirical performance of reduced-form models for emission permit prices
• Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method
• Risk-Averse Equilibrium Modeling and Social Optimality of Cap-and-Trade Mechanisms
• Market-consistent modeling for cap-and-trade schemes and application to option pricing
• Singular forward-backward stochastic differential equations and emissions derivatives
• Modeling and computation of mean field equilibria in producers' game with emission permits trading
• Agent-based analysis of the impact of CO\(_2\) emission trading on spot market prices for electricity in Germany
• Optimal control strategy of companies: inheriting period and carbon emission reduction
• Numerical methods for two person games arising from transboundary pollution with emission permit trading
• Risk Aversion in Modeling of Cap-and-Trade Mechanism and Optimal Design of Emission Markets
• Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction
• Detecting and modelling the jump risk of CO₂emission allowances and their impact on the valuation of option on futures contracts
• A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets
• Optimal abatement and emission permit trading policies in a dynamic transboundary pollution game
• Environmental economics and modeling marketable permits
• Numerical simulation for European and American option of risks in climate change of Three Gorges Reservoir Area
• The emissions trading paradox
• Fitted finite volume method for pricing CO₂futures option based on the underlying with non-log-normal distribution
• Fitted Finite Volume Method of Three Transboundary Pollution in Three Gorges Reservoir Area of Chongqing City with Emission Permits Trading by Cooperative Stochastic Differential Game
• An optimal control model of carbon reduction and trading
• Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model
• On fair pricing of emission-related derivatives
• Model and numerical methods for pricing renewable energy certificate derivatives
• Dynamic Competition under Cap and Trade Programs
• Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets
• Optimal Stochastic Control Problem for a Carbon Emission Reduction Process
• Emissions trading with rolling horizons
• Emission allowance as a derivative on commodity-spread
• Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
• Cap-and-trade properties under different hybrid scheme designs
• Optimal electricity generation portfolios. The impact of price spread modelling
• Modeling and computation of mean field game with compound carbon abatement mechanisms
• Singular FBSDEs and scalar conservation laws driven by diffusion processes
• Empirical evidence on time-varying hedging effectiveness of emissions allowances under departures from the cost-of-carry theory
• Pricing renewable identification numbers under uncertainty
• Carbon spot prices in equilibrium frameworks associated with climate change

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