Footnote:
In: Journal of Banking & Finance, Vol. 33, No. 7, pp. 1230-1241, 2009
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 22, 2008 erstellt
Description:
This paper studies the three main markets for emission allowances within the European Union Emissions Trading Scheme (EU ETS): Powernext, Nord Pool and European Climate Exchange (ECX). The analysis suggests that the prohibition of banking of emission allowances between distinct phases of the EU ETS has significant implications in terms of futures pricing. Motivated by these findings, we develop an empirically and theoretically valid framework for the pricing and hedging of intra-phase and inter-phase futures and options on futures, respectively