On fair pricing of emission-related derivatives
Statistics Theory
2010-11-29 v1 Pricing of Securities
Statistics Theory
Abstract
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.
Cite
@article{arxiv.1011.5792,
title = {On fair pricing of emission-related derivatives},
author = {Juri Hinz and Alex Novikov},
journal= {arXiv preprint arXiv:1011.5792},
year = {2010}
}
Comments
Published in at http://dx.doi.org/10.3150/09-BEJ242 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)