1. Главная
  2. Ресурсы
  3. Библиотечный поиск
Equilibrium pricingof contingent claimsin tradable permitmarkets Masaaki KijimaAkira MaédaKatsumasa Nishide2009 год

Equilibrium pricing of contingent claims in tradable permit markets
статья из журнала

Страница публикацииПубликация в OpenAlex
Аннотация: Abstract We advance a model of the tradable permit market and derive a pricing formula for contingent claims traded in the market in a general equilibrium framework. It is shown that prices of such contingent claims exhibit significantly different properties from those in the ordinary financial markets. In particular, if the social cost function kinks at some level of abatement, the forward price, as well as the spot price, can be subject to the so‐called price spike. However, this price‐spike phenomenon can be weakened if a system of banking and borrowing is properly introduced. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:559–589, 2010
Год издания: 2009
Авторы: Masaaki Kijima, Akira Maéda, Katsumasa Nishide
Издательство: Wiley
Источник: Journal of Futures Markets
Ключевые слова: Climate Change Policy and Economics, Economic theories and models, Stochastic processes and financial applications