Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach

Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach

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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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Bibliographic Details
Main Authors:	Howison, S, Schwarz, D
Format:	Journal article
Published:	Society for Industrial and Applied Mathematics 2015

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