Pricing CO2 Permits Using Approximation Approaches
24 Pages Posted: 23 Dec 2009
Date Written: October 4, 2009
Abstract
Equilibrium models have been widely used in literature with the aim of showing theoretical properties of emission trading systems. This paper derives first a new equilibrium model. Second, it is shown that the theoretical permit price is related to changes in the expectation about how long regulated companies will need to exhaust the remaining permits. Third, by application to real data it demonstrates that emission trading systems are inherently prone to jumps.
Keywords: CO2 emission allowances, Equilibrium model, Approximation (Moment matching)
JEL Classification: C02, C61, C63, C65, G13
Suggested Citation: Suggested Citation
Gruell, Georg and Kiesel, Ruediger, Pricing CO2 Permits Using Approximation Approaches (October 4, 2009). Available at SSRN: https://ssrn.com/abstract=1527378 or http://dx.doi.org/10.2139/ssrn.1527378
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.