| Titre : | Risk-neutral models for emission allowance prices and option valuation (2011) |
| Auteurs : | René Carmona, Auteur ; Juri Hinz, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Management science (Vol. 57 N° 8, Août 2011) |
| Article en page(s) : | pp. 1453-1468 |
| Note générale : | Management |
| Langues : | Anglais |
| Index. décimale : | 658 (Organisation des entreprises. Techniques du commerce) |
| Tags : | Emission derivatives Emissions markets Cap-and-trade schemes Environmental finance |
| Résumé : | The existence of mandatory emission trading schemes in Europe and the United States, and the increased liquidity of trading on futures contracts on CO2 emissions allowances, led naturally to the next step in the development of these markets: These futures contracts are now used as underliers for a vibrant derivative market. In this paper, we give a rigorous analysis of a simple risk-neutral reduced-form model for allowance futures prices, demonstrate its calibration to historical data, and show how to price European call options written on these contracts. |
| DEWEY : | 658 |
| ISSN : | 0025-1909 |
| En ligne : | http://mansci.journal.informs.org/content/57/8.toc |
