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Journal Articles ERCIM News Year : 2009

Valuing CO2 Emission Allowances with Stochastic Control

Olivier Davidau
  • Function : Author
Bossy Mireille
Nadia Maïzi


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.
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inria-00605455 , version 1 (01-07-2011)


  • HAL Id : inria-00605455 , version 1


Olivier Davidau, Bossy Mireille, Nadia Maïzi, Odile Pourtallier. Valuing CO2 Emission Allowances with Stochastic Control. ERCIM News, 2009, 78, pp.24-25. ⟨inria-00605455⟩
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