Risk-Neutral Models for Emission Allowance Prices and Option Valuation

DOI10.1287/mnsc.1110.1358zbMath1279.91202OpenAlexW1977698587MaRDI QIDQ2870453

Juri Hinz, René A. Carmona

Publication date: 20 January 2014

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: http://www.jstor.org/stable/25835791

zbMATH Keywords

emissions marketsenvironmental financeemission derivativescap-and-trade schemes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Corporate finance (dividends, real options, etc.) (91G50) Actuarial science and mathematical finance (91G99)

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