Risk-Neutral Models for Emission Allowance Prices and Option Valuation

• 成果类型: Article
• 署名作者: Carmona, Rene; Hinz, Juri
• 署名单位: Princeton University; Princeton University; National University of Singapore
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1358
• 发表日期: 2011
• 页码: 1453-1468
• 关键词: emission derivatives; emissions markets; cap-and-trade schemes; environmental finance

摘要

The existence of mandatory emission trading schemes in Europe and the United States, and the increased liquidity of trading on futures contracts on CO2 emissions allowances, led naturally to the next step in the development of these markets: These futures contracts are now used as underliers for a vibrant derivative market. In this paper, we give a rigorous analysis of a simple risk-neutral reduced-form model for allowance futures prices, demonstrate its calibration to historical data, and show how to price European call options written on these contracts.