Pricing CO2 Permits Using Approximation Approaches

24 Pages Posted: 23 Dec 2009

See all articles by Georg Gruell

Georg Gruell

University of Duisburg-Essen

Ruediger Kiesel

University of Duisburg-Essen - Faculty of Economic Science

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

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

Georg Gruell (Contact Author)

University of Duisburg-Essen ( email )

Lotharstrasse 1
Duisburg, 47048
Germany

Ruediger Kiesel

University of Duisburg-Essen - Faculty of Economic Science ( email )

Essen, 45117
Germany

HOME PAGE: http://www.lef.wiwi.uni-due.de/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
337
Abstract Views
1,479
Rank
138,681
PlumX Metrics