ÇETIN, UMUT; VERSCHUERE, MICHEL - In: International Journal of Theoretical and Applied … 12 (2009) 07, pp. 949-967
We propose a model for trading in emission allowances in the EU Emission Trading Scheme (ETS). Exploiting an arbitrage relationship we derive the spot prices of carbon allowances given a forward contract whose price is exogenous to the model. The modeling is done under the assumption of no...