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Risk-Neutral Models for Emission Allowance Prices and Option Valuation
16 references·9 citing·36 second hop
Risk-Neutral Models for Emission Allowance Prices and Option Valuation (2011)Risk-Neutral Models for Emission Allowanc…Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme (2009)Modeling CO2 emission allowan…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 …An econometric analysis of emission allowance prices (2008)An econometric analysis of em…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…CO 2 cost pass-through and windfall profits in the power sector (2006)CO 2 cost pass-through and wi…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Lévy processes : theory and applications (2001)Lévy processes : theory and a…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…A Model of Intertemporal Emission Trading, Banking, and Borrowing (1996)A Model of Intertemporal Emis…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…Emissions Trading: An Exercise in Reforming Pollution Policy (1985)Emissions Trading: An Exercis…Emissions Trading (1985)Emissions TradingMarkets in licenses and efficient pollution control programs (1972)Markets in licenses and effic…Pollution, Property, and Prices (1969)Pollution, Property, and Pric…Pollution, Property and Prices (1969)Pollution, Property and PricesJoint Control of Emissions Permit Trading and Production Involving Fixed and Variable Transaction Costs (2018)Joint Control of Emissions Pe…Equilibrium Price Dynamics of Emission Permits (2018)Equilibrium Price Dynamics of…Market-Consistent Modeling for Cap-and-Trade Schemes and Application to Option Pricing (2014)Market-Consistent Modeling fo…Climate policy modeling: An online SCI-E and SSCI based literature review (2014)Climate policy modeling: An o…Singular forward–backward stochastic differential equations and emissions derivatives (2013)Singular forward–backward sto…On the Stochastic Properties of Carbon Futures Prices (2013)On the Stochastic Properties …Evaluating eco-efficiency with data envelopment analysis: an analytical reexamination (2013)Evaluating eco-efficiency wit…Market Design for Emission Trading Schemes (2010)Market Design for Emission Tr…The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing (2008)The Endogenous Price Dynamics…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)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Alternative models for stock price dynamics (2003)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)Modeling financial contagion using mutually exciting jump processes (2015)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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)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)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)Incentives and Political Economy (2001)Carbon Trading: A Review of the Kyoto Mechanisms (2007)How will the emissions trading scheme save cost for achieving China’s 2020 carbon intensity reduction target? (2014)Economic Prescriptions for Environmental Problems: How the Patient Followed the Doctor's Orders (1989)Civilizing markets: Carbon trading between in vitro and in vivo experiments (2008)Chapter 49 Arch models (1994)High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)Expectation puzzles, time-varying risk premia, and affine models of the term structure (2002)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1972Markets in licenses and efficient pollution control programs1,783 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1969Pollution, Property and Prices703 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
  • 1969Pollution, Property, and Prices442 cited
  • 1985Emissions Trading: An Exercise in Reforming Pollution Policy407 cited
  • 2008Dynamic behavior of CO2 spot prices345 cited
  • 2001Lévy processes : theory and applications338 cited
  • 2008An econometric analysis of emission allowance prices327 cited
  • 1985Emissions Trading287 cited
  • 2000The Economics of Pollution Permit Banking in the Context of Title IV of the 1990 Clean Air Act Amendments

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268 cited

Cited by

  • 2014Climate policy modeling: An online SCI-E and SSCI based literature review145 cited
  • 2010Market Design for Emission Trading Schemes131 cited
  • 2013Evaluating eco-efficiency with data envelopment analysis: an analytical reexamination51 cited
  • 2018Equilibrium Price Dynamics of Emission Permits47 cited
  • 2013Singular forward–backward stochastic differential equations and emissions derivatives37 cited
  • 2014Market-Consistent Modeling for Cap-and-Trade Schemes and Application to Option Pricing33 cited
  • 2008The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing33 cited
  • 2013On the Stochastic Properties of Carbon Futures Prices32 cited
  • 2018Joint Control of Emissions Permit Trading and Production Involving Fixed and Variable Transaction Costs26 cited