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Daskalakis, George 
ORCID: https://orcid.org/0000-0003-4421-7167, Psychoyios, Dimitris and Markellos, Raphael-Nicholas
(2009)
Modeling CO2 emission allowance prices and derivatives:Evidence from the European trading scheme.
Journal of Banking & Finance, 33 (7).
pp. 1230-1241.
ISSN 1872-6372
Abstract
This paper studies the three main markets for emission allowances within the European Union Emissions Trading Scheme (EU ETS): Powernext, Nord Pool and European Climate Exchange (ECX). The analysis suggests that the prohibition of banking of emission allowances between distinct phases of the EU ETS has significant implications in terms of futures pricing. Motivated by these findings, we develop an empirically and theoretically valid framework for the pricing and hedging of intra-phase and inter-phase futures and options on futures, respectively.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | derivative pricing,emission allowances,futures,options on futures,sdg 13 - climate action ,/dk/atira/pure/sustainabledevelopmentgoals/climate_action |
| Faculty \ School: | Faculty of Social Sciences > Norwich Business School |
| UEA Research Groups: | Faculty of Social Sciences > Research Groups > Finance Group Faculty of Social Sciences > Research Centres > Centre for Competition Policy |
| Depositing User: | Raphael Markellos |
| Date Deposited: | 27 Oct 2011 08:17 |
| Last Modified: | 21 Apr 2023 13:30 |
| URI: | https://ueaeprints.uea.ac.uk/id/eprint/35197 |
| DOI: | 10.1016/j.jbankfin.2009.01.001 |
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