Indifference prices for carbon emission allowances. The European carbon market context

Mireille Bossy 1, * Dia El Hadj Ali 1 Nadia Maïzi 2 Odile Pourtallier 3
* Auteur correspondant
1 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
3 COPRIN - Constraints solving, optimization and robust interval analysis
CRISAM - Inria Sophia Antipolis - Méditerranée , ENPC - École des Ponts ParisTech
Abstract : We discuss the pricing of carbon emission allowances in the European Union Emission Trading Scheme (EU ETS) context. We study the EU ETS price, according to a given sector's players aggregation : the electricity producers. We model the indifference price with a stochastic control problem for a producer that can dynamically switch between coal, gas or hydro power plants, and/or buy/sell emission allowances. We discuss the computation of the indifference price sensitivities.
Type de document :
Communication dans un congrès
7th International Congress on Industrial and Applied Mathematics - ICIAM 2011, Jul 2011, Vancouver, Canada. 2011
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https://hal.inria.fr/hal-00645033
Contributeur : Mireille Bossy <>
Soumis le : vendredi 25 novembre 2011 - 18:05:04
Dernière modification le : mardi 27 mars 2018 - 16:06:18

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  • HAL Id : hal-00645033, version 1

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Mireille Bossy, Dia El Hadj Ali, Nadia Maïzi, Odile Pourtallier. Indifference prices for carbon emission allowances. The European carbon market context. 7th International Congress on Industrial and Applied Mathematics - ICIAM 2011, Jul 2011, Vancouver, Canada. 2011. 〈hal-00645033〉

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