Integrated EUA and CER Price Modeling and Application for Spread Option Pricing-Reference-Cited by-同舟云学术

Integrated EUA and CER Price Modeling and Application for Spread Option Pricing

Published:2011 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Barrieu Pauline M.,Fehr Max

Publisher

Elsevier BV

Reference15 articles.

1. A Note On Emissions Trading: The Pricing Of Carbon Derivatives;D A Bloch;Market Designs for Emissions Trading Schemes. SIAM Review,1957

2. Optimal stochastic control and carbon price formation;[ Carmona;SIAM Journal on Control and Optimization,2009

3. The Clean Development Mechanism and Joint Price Formation for Allowances and CERs

4. Risk Neutral Modeling of Emission Allowance Prices and Option Valuation;Hinz ; Carmona;International Journal of Theoretical and Applied Finance,2009

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Valuation of spread options under correlated skew Brownian motions;The European Journal of Finance;2023-04-20

2. Dynamic Nonlinear Relationships between Carbon Emission Allowance and Reduction Credit Markets-Based on the IRF-DCC Model;Geo-Informatics in Resource Management and Sustainable Ecosystem;2016

3. Risk Aversion in Modeling of Cap-and-Trade Mechanism and Optimal Design of Emission Markets;Stochastics of Environmental and Financial Economics;2015-10-24

4. Risk-Averse Equilibrium Modeling and Social Optimality of Cap-and-Trade Mechanisms;Springer Proceedings in Mathematics & Statistics;2015

5. The Pricing of Carbon Bonds and Other Index-Linked Carbon Derivatives;SSRN Electronic Journal;2011