Cutting edge technical: Carbon derivatives pricing

Daniel Bloch
01 Mar 2011

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Evidence of extreme volatility in the European permit markets suggests the urgent need for the development of selective hedging techniques such as futures contracts and option instruments. As a result, a valid price model is required for pricing financial instruments or projects whose value derives from the future carbon dioxide (CO₂) spot permit price. Due to the recent introduction in the market of option-like instruments for hedging purposes, various models were developed to approximate the

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