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...
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| Format: | Journal article |
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Society for Industrial and Applied Mathematics
2015
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