On fair pricing of emission-related derivatives. (English) Zbl 1232.91665
Summary: 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.
MSC:
| 91G20 | Derivative securities (option pricing, hedging, etc.) |
| 91B30 | Risk theory, insurance (MSC2010) |
| 91B76 | Environmental economics (natural resource models, harvesting, pollution, etc.) |
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