Risk-neutral models for emission allowance prices and option valuation / René Carmona in Management science, Vol. 57 N° 8 (Août 2011)  

Public ISBD [article]  inManagement science > Vol. 57 N° 8 (Août 2011) . - pp. 1453-1468 Titre : Risk-neutral models for emission allowance prices and option valuation Type de document : texte imprimé Auteurs : René Carmona, Auteur ; Juri Hinz, Auteur Année de publication : 2011 Article en page(s) : pp. 1453-1468 Note générale : Management Langues : Anglais (eng) Mots-clés : Emission derivatives Emissions markets Cap-and-trade schemes Environmental finance Index. décimale : 658 Organisation des entreprises. Techniques du commerce 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 [article] Risk-neutral models for emission allowance prices and option valuation [texte imprimé] / René Carmona, Auteur ; Juri Hinz, Auteur . - 2011 . - pp. 1453-1468. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 8 (Août 2011) . - pp. 1453-1468 Mots-clés : Emission derivatives Emissions markets Cap-and-trade schemes Environmental finance Index. décimale : 658 Organisation des entreprises. Techniques du commerce 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

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