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dc.contributor.author
Hintermann, Beat
dc.date.accessioned
2022-09-30T14:44:06Z
dc.date.available
2017-06-08T23:50:35Z
dc.date.available
2022-09-30T14:44:06Z
dc.date.issued
2009
dc.identifier.uri
http://hdl.handle.net/20.500.11850/20262
dc.description.abstract
If firms are unable to fully control their emissions, the cap in a permit market may be exceeded. Using stochastic aggregate emissions as the underlying I derive an options pricing formula that expresses the permit price as a function of the penalty for noncompliance and the probability of a binding cap. I apply my model to the EU ETS, where rapid market setup made it difficult for firms to adjust their production technology in time for phase 1. The model fits the data well, implying that the permit price was driven by firms hedging against stochastic emissions rather than marginal abatement costs.
en_US
dc.language.iso
en
en_US
dc.publisher
Swiss Federal Institute of Technology, CEPE - Centre for Energy Policy and Economics
en_US
dc.subject
Permit markets
en_US
dc.subject
air pollution
en_US
dc.subject
CO2
en_US
dc.subject
climate change
en_US
dc.subject
options pricing
en_US
dc.subject
EU ETS
en_US
dc.title
An Options Pricing Approach for CO2 Allowances in the EU ETS
en_US
dc.type
Working Paper
ethz.journal.title
CEPE Working Paper
ethz.journal.volume
64
en_US
ethz.size
37 p.
en_US
ethz.publication.place
Zürich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
03797 - Rutherford, Thomas
en_US
ethz.leitzahl.certified
03797 - Rutherford, Thomas
ethz.date.deposited
2017-06-08T23:50:43Z
ethz.source
ECIT
ethz.identifier.importid
imp59364cb53f52d52753
ethz.ecitpid
pub:32720
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-26T18:27:19Z
ethz.rosetta.lastUpdated
2018-11-02T04:54:19Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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