{"id":"https://openalex.org/W2761549109","doi":"https://doi.org/10.1137/100815219","title":"Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach","display_name":"Risk-Neutral Pricing of Financial Instruments in Emission Markets: A Structural Approach","publication_year":2012,"publication_date":"2012-01-01","ids":{"openalex":"https://openalex.org/W2761549109","doi":"https://doi.org/10.1137/100815219","mag":"2761549109"},"language":"en","primary_location":{"id":"doi:10.1137/100815219","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100815219","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5053246739","display_name":"Sam Howison","orcid":"https://orcid.org/0000-0001-7938-370X"},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Sam Howison","raw_affiliation_strings":["Mathematical Institute, University of Oxford and Oxford-Man Institute, OX2 6ED Oxford, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Mathematical Institute, University of Oxford and Oxford-Man Institute, OX2 6ED Oxford, UK","institution_ids":["https://openalex.org/I40120149"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5088415087","display_name":"Daniel Schwarz","orcid":"https://orcid.org/0000-0002-5898-0932"},"institutions":[{"id":"https://openalex.org/I74973139","display_name":"Carnegie Mellon University","ror":"https://ror.org/05x2bcf33","country_code":"US","type":"education","lineage":["https://openalex.org/I74973139"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Daniel Schwarz","raw_affiliation_strings":["Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA 15213-3890"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA 15213-3890","institution_ids":["https://openalex.org/I74973139"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":7.4144,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.96956205,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"3","issue":"1","first_page":"709","last_page":"739"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10471","display_name":"Climate Change Policy and Economics","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10471","display_name":"Climate Change Policy and Economics","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11588","display_name":"Atmospheric and Environmental Gas Dynamics","score":0.9947999715805054,"subfield":{"id":"https://openalex.org/subfields/2306","display_name":"Global and Planetary Change"},"field":{"id":"https://openalex.org/fields/23","display_name":"Environmental Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12617","display_name":"Energy, Environment, and Transportation Policies","score":0.9866999983787537,"subfield":{"id":"https://openalex.org/subfields/2105","display_name":"Renewable Energy, Sustainability and the Environment"},"field":{"id":"https://openalex.org/fields/21","display_name":"Energy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/allowance","display_name":"Allowance (engineering)","score":0.8509090542793274},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.6258745193481445},{"id":"https://openalex.org/keywords/emissions-trading","display_name":"Emissions trading","score":0.6226793527603149},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.5282142758369446},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.5046569108963013},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.504308819770813},{"id":"https://openalex.org/keywords/differential","display_name":"Differential (mechanical device)","score":0.4971368610858917},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.41657528281211853},{"id":"https://openalex.org/keywords/certificate","display_name":"Certificate","score":0.4118524491786957},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.34357506036758423},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.252956360578537},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24261772632598877},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.16497328877449036},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.1541886031627655},{"id":"https://openalex.org/keywords/greenhouse-gas","display_name":"Greenhouse gas","score":0.14451736211776733},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.10428497195243835}],"concepts":[{"id":"https://openalex.org/C2779268580","wikidata":"https://www.wikidata.org/wiki/Q3447087","display_name":"Allowance (engineering)","level":2,"score":0.8509090542793274},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6258745193481445},{"id":"https://openalex.org/C100405246","wikidata":"https://www.wikidata.org/wiki/Q8348417","display_name":"Emissions trading","level":3,"score":0.6226793527603149},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.5282142758369446},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.5046569108963013},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.504308819770813},{"id":"https://openalex.org/C93226319","wikidata":"https://www.wikidata.org/wiki/Q193137","display_name":"Differential (mechanical device)","level":2,"score":0.4971368610858917},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.41657528281211853},{"id":"https://openalex.org/C96865113","wikidata":"https://www.wikidata.org/wiki/Q2946816","display_name":"Certificate","level":2,"score":0.4118524491786957},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.34357506036758423},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.252956360578537},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24261772632598877},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16497328877449036},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.1541886031627655},{"id":"https://openalex.org/C47737302","wikidata":"https://www.wikidata.org/wiki/Q167336","display_name":"Greenhouse gas","level":2,"score":0.14451736211776733},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.10428497195243835},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C21547014","wikidata":"https://www.wikidata.org/wiki/Q1423657","display_name":"Operations management","level":1,"score":0.0},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/100815219","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100815219","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5763804928","display_name":null,"funder_award_id":"UTA CMU/MAT/0006/2009","funder_id":"https://openalex.org/F4320334779","funder_display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia"}],"funders":[{"id":"https://openalex.org/F4320334779","display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia","ror":"https://ror.org/00snfqn58"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W1970153014","https://openalex.org/W1971011371","https://openalex.org/W2002493340","https://openalex.org/W2017211592","https://openalex.org/W2030016046","https://openalex.org/W2047943053","https://openalex.org/W2064387537","https://openalex.org/W2071381738","https://openalex.org/W2095195143","https://openalex.org/W2113560180","https://openalex.org/W2137553792","https://openalex.org/W3122522189","https://openalex.org/W3123593991"],"related_works":["https://openalex.org/W2045708832","https://openalex.org/W3122260034","https://openalex.org/W2804952470","https://openalex.org/W3124972732","https://openalex.org/W2258157217","https://openalex.org/W3159753321","https://openalex.org/W373013341","https://openalex.org/W2042149867","https://openalex.org/W2076292178","https://openalex.org/W249223847"],"abstract_inverted_index":{"We":[0,80,104],"present":[1],"a":[2,45,50,82,115],"novel":[3],"approach":[4],"to":[5,71,124],"the":[6,15,54,63,67,72,76,88,92,97,111,134,148],"pricing":[7],"of":[8,56,69,91],"financial":[9],"instruments":[10],"in":[11],"emission":[12,125],"markets---for":[13],"example,":[14],"European":[16],"Union":[17],"Emissions":[18],"Trading":[19],"Scheme":[20],"(EU":[21],"ETS).":[22],"The":[23,120],"proposed":[24],"structural":[25],"model":[26,121],"is":[27,122],"positioned":[28],"between":[29],"existing":[30],"complex":[31],"full":[32],"equilibrium":[33],"models":[34],"and":[35,59,95,131,144],"pure":[36],"reduced-form":[37],"models.":[38],"Using":[39],"an":[40],"exogenously":[41],"specified":[42],"demand":[43],"for":[44,53,87],"polluting":[46],"good,":[47],"it":[48],"gives":[49],"causal":[51],"explanation":[52],"accumulation":[55],"CO$_2$":[57],"emissions":[58],"takes":[60],"into":[61],"account":[62],"feedback":[64],"effect":[65],"from":[66],"cost":[68],"carbon":[70],"rate":[73],"at":[74],"which":[75],"market":[77],"emits":[78],"CO$_2$.":[79],"derive":[81],"forward-backward":[83],"stochastic":[84],"differential":[85,101,118],"equation":[86,102],"price":[89],"process":[90],"allowance":[93,112,149],"certificate":[94,113],"solve":[96],"associated":[98],"semilinear":[99],"partial":[100,117],"numerically.":[103],"also":[105],"show":[106],"that":[107],"derivatives":[108],"written":[109],"on":[110,147],"satisfy":[114],"linear":[116],"equation.":[119],"extended":[123],"markets":[126],"with":[127],"multiple":[128],"compliance":[129],"periods,":[130],"we":[132],"analyze":[133],"impact":[135],"different":[136],"intertemporal":[137],"connecting":[138],"mechanisms,":[139],"such":[140],"as":[141],"borrowing,":[142],"banking,":[143],"withdrawal,":[145],"have":[146],"price.":[150]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}