On Fair Pricing of Emission-Related Derivatives
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.
|Date of creation:||01 Aug 2009|
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- 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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