相关论文: Understanding the explosive trend in EU ETS prices…

Two decades of research on the euro's trade effects have produced estimates ranging from 4% to 30%, with no consensus on the magnitude. We find evidence that this divergence may reflect genuine heterogeneity in the euro's trade effect…

This paper studies the valuation of European contingent claims with short selling bans under the equal risk pricing (ERP) framework proposed in Guo and Zhu (2017) where analytical pricing formulae were derived in the case of monotonic…

This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strategies by setting the premium as the value such that the…

Product safety has been a concern in Europe ever since the early 1960s. Despite the long and relatively stable historical lineage of product safety regulations, new technologies, changes in the world economy, and other major transformations…

A fundemantal and unanswered question for the widely shared goal of electrifying passenger vehicles is how the price of electricity, which can vary greatly across countries and regions, affects buying behavior. I make use of a natural…

In spring 2022, the German federal government agreed on a set of measures that aim at reducing households' financial burden resulting from a recent price increase, especially in energy and mobility. These measures include among others, a…

The European Union Emissions Trading System is set to substantially increase the effective carbon price faced by airlines. To quantify the impact of this carbon regulation on the European airline industry, we estimate a two-stage model of…

We estimate the effect of cigarette price and tax increases on smoking rates using Eurobarometer survey data from 27 European Union countries between 2012 and 2020. Following a difference-in-differences approach, we compare individuals…

This work presents the results of an empirical research with the target of modeling the stylized facts of the daily expost System Marginal Price (SMP) of the Greek wholesale electricity market, using data from January 2004 to December of…

Electricity is traded on various markets with different time horizons and regulations. Short-term intraday trading becomes increasingly important due to the higher penetration of renewables. In Germany, the intraday electricity price…

We provide a theoretical framework to examine how carbon pricing policies influence inflation and to estimate the policy-driven impact on goods prices from achieving net-zero emissions. Firms control emissions by adjusting production,…

A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…

We present a dynamical theory of asset price bubbles that exhibits the appearance of bubbles and their subsequent crashes. We show that when speculative trends dominate over fundamental beliefs, bubbles form, leading to the growth of asset…

Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…

The increasing penetration of renewable energy in recent years has led to more uncertainties in power systems. In order to maintain system reliability and security, electricity market operators need to keep certain reserves in the…

Due to the liberalization of markets, the change in the energy mix and the surrounding energy laws, electricity research is a dynamically altering field with steadily changing challenges. One challenge especially for investment decisions is…

The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps…

This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…

We price European options in a class of models in which the volatility of the underlying risky asset depends on the short rate of interest. Our study results in an explicit pricing formula that depends on knowledge of a characteristic…

Studies looking at electricity market designs for very high shares of wind and solar often conclude that the energy-only market will break down. Without fuel costs, it is said that there is nothing to set prices. Symptoms of breakdown…