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dc.contributor.author
Hintermann, Beat
dc.date.accessioned
2017-06-08T23:50:35Z
dc.date.available
2017-06-08T23:50:35Z
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.
dc.language.iso
en
dc.publisher
Swiss Federal Institute of Technology, CEPE - Centre for Energy Policy and Economics
dc.subject
Permit markets
dc.subject
air pollution
dc.subject
CO2
dc.subject
climate change
dc.subject
options pricing
dc.subject
EU ETS
dc.title
An Options Pricing Approach for CO2 Allowances in the EU ETS
dc.type
Working Paper
ethz.journal.title
CEPE Working Paper
ethz.journal.volume
64
ethz.size
37 p.
ethz.identifier.nebis
004298743
ethz.publication.place
Zürich
ethz.publication.status
published
ethz.leitzahl
03797 - Rutherford, Thomas
ethz.leitzahl.certified
03797 - Rutherford, Thomas
ethz.identifier.url
http://www.cepe.ethz.ch/publications/workingPapers/CEPE_WP64.pdf
ethz.date.deposited
2017-06-08T23:50:43Z
ethz.source
ECIT
ethz.identifier.importid
imp59364cb53f52d52753
ethz.ecitpid
pub:32720
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-26T18:27:19Z
ethz.rosetta.lastUpdated
2018-11-02T04:54:19Z
ethz.rosetta.versionExported
true
ethz.COinS
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