Emission allowance as a derivative on commodity-spread

DOI10.1007/s10690-013-9164-5zbMath1270.91085OpenAlexW2082332343MaRDI QIDQ356764

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)

Cites Work

• Cap-and-trade properties under different hybrid scheme designs
• Dynamic behavior of CO\(_2\) spot prices
• 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 Endogenous Price Dynamics of Emission Allowances and an Application to CO₂Option Pricing
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