OPTIMAL STOCHASTIC CONTROL AND CARBON PRICE FORMATION

被引：59

作者：

Carmona, Rene ^{[1
]}

Fehr, Max ^{[2
]}

Hinz, Juri ^{[3
]}

机构：

[1] Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA

[2] ETH, Inst Operat Res, CH-8092 Zurich, Switzerland

[3] Natl Univ Singapore, Dept Math, Singapore 117543, Singapore

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2009年 / 48卷 / 04期

基金：

美国国家科学基金会;

关键词：

stochastic control; commodity options; environmental risk; carbon trading; BANKING; MARKETS;

D O I：

10.1137/080736910

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

To meet the targets of the Kyoto Protocol, the European Union established the European Emission Trading Scheme, a mandatory market for carbon emission allowances. This regulatory framework has introduced a market for emission allowances and created a variety of emission-related financial instruments. In this work, we show that the economic mechanism of carbon allowance price formation can be formulated in the framework of competitive stochastic equilibrium models, and we show that its solution reduces to an optimal stochastic control problem. Using this mathematical setup, we identify the main allowance price drivers and show how stochastic control can be used to treat quantitative problems in carbon price risk management.

引用

页码：2168 / 2190

页数：23

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