Market-Consistent Modeling for Cap-and-Trade Schemes and Application to Option Pricing

DOI10.1287/OPRE.2013.1242zbMath1298.91155OpenAlexW2067444755MaRDI QIDQ2875594

Max Fehr, Pauline Barrieu

Publication date: 11 August 2014

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2013.1242

zbMATH Keywords

asset pricingMarkov processesenvironmentstochastic model applicationseconomics

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Related Items (4)

Environmental policies in a Stackelberg differential game ⋮ Business models for public emission reduction projects ⋮ Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching ⋮ The impacts of e-tailer's private label on the sales mode selection: from the perspectives of economic and environmental sustainability

Cites Work

• 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
• The Clean Development Mechanism and Joint Price Formation for Allowances and CERs
• Storage Costs in Commodity Option Pricing
• Optimal Stochastic Control and Carbon Price Formation
• Market Design for Emission Trading Schemes
• PRICING AND HEDGING IN CARBON EMISSIONS MARKETS
• The Endogenous Price Dynamics of Emission Allowances and an Application to CO₂Option Pricing

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