Valuing CO2 Emission Allowances with Stochastic Control

Olivier Davidau Bossy Mireille 1 Nadia Maïzi 2 Odile Pourtallier 3
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 : The carbon market was launched in the European Union in 2005 as part of the EU's initiative to reduce its greenhouse gas (GHG) emissions. This means that industrial players must now include their GHG emissions in their production costs. We aim to model the behaviour of an industrial agent who faces market uncertainties, and we compare the expected value of an optimal production strategy when buying (or not buying) supplementary emission allowances. This allows us to compute the agent's carbon indifference price which defines its market behaviour (buyer or not). We aim to use the resulting indifference price to study the sensitivity of the carbon market to the shape of the penalty and the emission allowances allocation.
Type de document :
Article dans une revue
ERCIM News, ERCIM, 2009, pp.24-25
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Soumis le : vendredi 1 juillet 2011 - 16:11:13
Dernière modification le : mardi 27 mars 2018 - 16:06:18

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  • HAL Id : inria-00605455, version 1

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Olivier Davidau, Bossy Mireille, Nadia Maïzi, Odile Pourtallier. Valuing CO2 Emission Allowances with Stochastic Control. ERCIM News, ERCIM, 2009, pp.24-25. 〈inria-00605455〉

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