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On Fair Pricing of Emission-Related Derivatives

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Author Info

  • Juri Hinz

    (Department of Mathematics, National University of Singapore)

  • Alex Novikov

    (Department of Mathematical Sciences, University of Technology, Sydney)

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    Abstract

    The climate rescue is on the top of many agendas. In this context, emission trading schemes are considered as promising tools. The regulatory framework of an emission trading scheme introduces a market for emission allowances and creates need for risk management by appropriate financial contracts. In this work, we address logical principles underlying their valuation.

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    File URL: http://www.business.uts.edu.au/qfrc/research/research_papers/rp257.pdf
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    Bibliographic Info

    Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 257.

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    Length: 23
    Date of creation: 01 Aug 2009
    Date of revision:
    Handle: RePEc:uts:rpaper:257

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    Related research

    Keywords: environmental risk; emission derivatives;

    This paper has been announced in the following NEP Reports:

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    1. Marc Chesney & Luca Taschini, 2008. "The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing," Swiss Finance Institute Research Paper Series 08-01, Swiss Finance Institute, revised Jan 2008.
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