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On fair pricing of emission-related derivatives
16 references·2 citing·42 second hop
On fair pricing of emission-related derivatives (2010)On fair pricing of emission-related deriv…The Endogenous Price Dynamics of Emission Allowances and an Application to CO2Option Pricing (2012)The Endogenous Price Dynamics…Market Design for Emission Trading Schemes (2010)Market Design for Emission Tr…Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme (2009)Modeling CO2 emission allowan…Futures Price Dynamics of CO2Emission Allowances:An Empirical Analysis of the Trial Period (2009)Futures Price Dynamics of CO2…Modeling the price dynamics of CO2 emission allowances (2008)Modeling the price dynamics o…Dynamic behavior of CO2 spot prices (2008)Dynamic behavior of CO2 spot …CO 2 cost pass-through and windfall profits in the power sector (2006)CO 2 cost pass-through and wi…Assessing the Least Squares Monte-Carlo Approach to American Option Valuation (2004)Assessing the Least Squares M…Intertemporal Permit Trading for the Control of Greenhouse Gas Emissions (2001)Intertemporal Permit Trading …A teacher’s note on no-arbitrage criteria (2001)A teacher’s note on no-arbitr…The Economics of Pollution Permit Banking in the Context of Title IV of the 1990 Clean Air Act Amendments (2000)The Economics of Pollution Pe…Regulated firms in pollution permit markets with banking (1996)Regulated firms in pollution …A Model of Intertemporal Emission Trading, Banking, and Borrowing (1996)A Model of Intertemporal Emis…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Emissions Trading (1985)Emissions TradingMarkets in licenses and efficient pollution control programs (1972)Markets in licenses and effic…Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching (2015)Estimation of Lévy-driven Orn…Jump-Diffusion Modeling in Emission Markets (2011)Jump-Diffusion Modeling in Em…Lectures on macroeconomics (1990)On the Behaviour of Commodity Prices (1992)ECONOMICS OF POLLUTION TRADING FOR SO2AND NOX (2005)European Carbon Prices and Banking Restrictions: Evidence from Phase I (2005-2007) (2009)Price and Market Behavior in Phase II of the EU ETS: A Review of the Literature (2015)Foundations of Economic Analysis (1948)Foundations of Economic Analysis. (1948)Effluent charges and licenses under uncertainty (1976)Experience with Market-Based Environmental Policy Instruments (2003)Climate risks and market efficiency (2018)Market Power and Transferable Property Rights (1984)Emissions Trading: An Exercise in Reforming Pollution Policy (1985)Managing Permit Markets to Stabilize Prices (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Pollution, Property and Prices (1969)Taxes versus quotas for a stock pollutant (2002)Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence (2014)Optimal Control Theory : Applications to Management Science and Economics (2000)Carbon price drivers: Phase I versus Phase II equilibrium? (2011)Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals (2012)How does emission trading reduce China's carbon intensity? An exploration using a decomposition and difference-in-differences approach (2019)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Cost of Carbon: Capital Market Effects of the Proposed Emission Trading Scheme ( ETS ) (2013)Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Can environmental innovation facilitate carbon emissions reduction? Evidence from China (2016)Allowance price drivers in the first phase of the EU ETS (2009)Pricing Carbon: The European Union Emissions Trading Scheme (2010)The Impact of the European Union Emissions Trading Scheme on Regulated Firms: What Is the Evidence after Ten Years? (2015)The Tradable Permits Approach to Protecting the Commons: What Have We Learned? (2002)Cost Heterogeneity and the Potential Savings from Market-Based Policies (2003)The Effect of Allowance Allocations on Cap-and-Trade System Performance (2011)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1972Markets in licenses and efficient pollution control programs1,783 cited
  • 2008Modeling the price dynamics of CO2 emission allowances695 cited
  • 2006CO 2 cost pass-through and windfall profits in the power sector576 cited
  • 2009Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme486 cited
  • 1996A Model of Intertemporal Emission Trading, Banking, and Borrowing485 cited
  • 2008Dynamic behavior of CO2 spot prices345 cited
  • 1985Emissions Trading287 cited
  • 2000The Economics of Pollution Permit Banking in the Context of Title IV of the 1990 Clean Air Act Amendments268 cited
  • 1996Regulated firms in pollution permit markets with banking203 cited
  • 2001Intertemporal Permit Trading for the Control of Greenhouse Gas Emissions137 cited
  • 2010Market Design for Emission Trading Schemes131 cited
  • 2001A teacher’s note on no-arbitrage criteria127 cited
  • 2004Assessing the Least Squares Monte-Carlo Approach to American Option Valuation121 cited
  • 2009Futures Price Dynamics of CO2Emission Allowances:An Empirical Analysis of the Trial Period

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107 cited
  • 2012The Endogenous Price Dynamics of Emission Allowances and an Application to CO2Option Pricing104 cited
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    • 2011Jump-Diffusion Modeling in Emission Markets18 cited
    • 2015Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching18 cited