Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach
We present a novel approach to the pricing of financial instruments in emission markets---for example, the European Union Emissions Trading Scheme (EU ETS). The proposed structural model is positioned between existing complex full equilibrium models and pure reduced-form models. Using an exogenously...
Main Authors: | , |
---|---|
Format: | Journal article |
Published: |
Society for Industrial and Applied Mathematics
2015
|