Simulation of carbon-dioxide emission by option model
Estimation of carbon emissions is very important not just for companies but also for governments and policymakers. In this paper I provide an emission estimation model for an energy-producing company based on spot market prices. The company will produce energy and emit carbon-dioxide at a given point in time if its margin for emitted CO2 dominates the prices of emission rights. The estimated emissions at a given time point can be calculated as an option of related asset prices (electricity, gas, emission rights). The prices of underlying assets behave according to Geometric Brownian motion. The production decisions of the company and its emissions are modeled using a Monte Carlo framework. The resulting distribution is similar to the sum of autoregressive Bernoulli random numbers. For easier forecasting of expected cumulated emissions a logistic type emission function was fitted to the result of simulations.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 33 (2011)
Issue (Month): 1 (April)
|Contact details of provider:|| Web page: http://www.akkrt.hu|
|Order Information:|| Postal: Akadémiai Kiadó Zrt., Prielle K. u. 21-35. Budapest, 1117, Hungary|
Web: http://www.akademiai.com Email:
When requesting a correction, please mention this item's handle: RePEc:aka:soceco:v:33:y:2011:i:1:p:219-236. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vajda, Lőrinc)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.