Market-consistent modeling for cap-and-trade schemes and application to option pricing

Authors :: Barrieu, Pauline
Fehr, Max
Source :: Operations Research. March 1, 2014, Vol. 62 Issue 2, p234, 16 p.
Publication Year :: 2014
Abstract: In this paper we refer to the requirement for industrialized countries to reach a domestic target for greenhouse emissions, as ratified in the Kyoto Protocol, and propose a market-consistent model [...]

Subjects :: Pricing -- Models
Emissions credit trading -- Analysis
Markov processes -- Usage
Learning models (Stochastic processes) -- Usage
Product price
Business
Mathematics

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