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摘要翻译：
我们提出了一种在排放市场上对金融工具定价的新方法，如欧盟ETS。所提出的结构模型介于现有的复杂全平衡模型和纯约化形式模型之间。它利用外源规定的对污染商品的需求，对二氧化碳排放量的累积作出因果解释，并考虑到碳成本对市场二氧化碳排放量的反馈效应。本文导出了容差证价格过程的一个正倒向随机微分方程，并对其半线性偏微分方程进行了数值求解。我们还证明写在允许证书上的导数满足一个线性偏微分方程。将该模型推广到具有多个履约期的排放市场，分析了不同的跨期连接机制（如借款、银行和退出）对允许价格的影响。
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英文标题：
《Risk-Neutral Pricing of Financial Instruments in Emission Markets: A
Structural Approach》
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作者：
Sam Howison, Daniel Schwarz
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最新提交年份：
2015
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing complex full equilibrium models and pure reduced form models. Using an exogenously specified demand for a polluting good it gives a causal explanation for the accumulation of CO2 emissions and takes into account the feedback effect from the cost of carbon to the rate at which the market emits CO2. We derive a forward-backward stochastic differential equation for the price process of the allowance certificate and solve the associated semilinear partial differential equation numerically. We also show that derivatives written on the allowance certificate satisfy a linear partial differential equation. The model is extended to emission markets with multiple compliance periods and we analyse the impact different intertemporal connecting mechanisms, such as borrowing, banking and withdrawal, have on the allowance price.
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PDF链接：
https://arxiv.org/pdf/1011.3736
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