On fair pricing of emission-related derivatives
AbstractTackling climate change is at the top of many agendas. In this context, emission trading schemes are considered as promising tools. The regulatory framework for an emission trading scheme introduces a market for emission allowances and creates a need for risk management by appropriate financial contracts. In this work, we address logical principles underlying their valuation.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1011.5792.
Date of creation: Nov 2010
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Publication status: Published in Bernoulli 2010, Vol. 16, No. 4, 1240-1261
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-04 (All new papers)
- NEP-ENE-2010-12-04 (Energy Economics)
- NEP-ENV-2010-12-04 (Environmental Economics)
- NEP-RMG-2010-12-04 (Risk Management)
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- Corinne Chaton & Anna Créti & Benoit Peluchon, 2013. "Banking and backloading emission permits," Working Papers hal-00915944, HAL.
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