On fair pricing of emission-related derivatives

Publisher:
the Bernoulli Society for Mathematical Statistics and Probability,
Publication Type:
Journal Article
Citation:
Bernoulli journal, 2010, 16 (4), pp. 1240 - 1261
Issue Date:
2010-01
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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.
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