Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model

DOI10.1007/978-3-319-23425-0_14zbMath1335.91089OpenAlexW2223449432MaRDI QIDQ2801802

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

zbMATH Keywords

option pricingrisk-neutral valuationmarket price of riskcarbon marketEUA futures

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

• Unnamed Item
• Quantitative modeling of emission markets
• 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 Valuation
• Optimal Stochastic Control and Carbon Price Formation
• Market Design for Emission Trading Schemes

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