On fair pricing of emission-related derivatives

Details On fair pricing of emission-related derivatives On fair pricing of emission-related derivatives

2010-11-26

arxiv.org/abs/1011.5792v1

Bernoulli 2010, Vol. 16, No. 4, 1240-1261

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/09-BEJ242 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/09-BEJ242

Tackling 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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