On Fair Pricing of Emission-Related Derivatives

Juri Hinz and Alex Novikov
Additional contact information
Juri Hinz: Department of Mathematics, National University of Singapore
Alex Novikov: Department of Mathematical Sciences, University of Technology Sydney

No 257, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: The climate rescue is on the top of many agendas. In this context, emission trading schemes are considered as promising tools. The regulatory framework of an emission trading scheme introduces a market for emission allowances and creates need for risk management by appropriate financial contracts. In this work, we address logical principles underlying their valuation.

Keywords: environmental risk; emission derivatives (search for similar items in EconPapers)
Pages: 23 pages
Date: 2009-08-01
New Economics Papers: this item is included in nep-ene, nep-env and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published as: Hinz, J. and Novikov, A., 2010, "On Fair Pricing of Emission-Related Derivatives", Bernoulli, 16(4), 1240-1261.

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https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp257.pdf (application/pdf)

Related works:
Working Paper: On fair pricing of emission-related derivatives (2010)
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