On fair pricing of emission-related derivatives

Juri Hinz · Alex Novikov

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Stochastic processes and financial applications Climate Change Policy and Economics Sustainable Finance and Green Bonds

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.

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1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1972Markets in licenses and efficient pollution control programs 2008Modeling the price dynamics of CO2 emission allowances 2006CO 2 cost pass-through and windfall profits in the power sector 2009Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme 1996A Model of Intertemporal Emission Trading, Banking, and Borrowing 2008Dynamic behavior of CO2 spot prices 1985Emissions Trading

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