Blar i NTNU Open på forfatter "Eriksson, Marcus Karl Viren"
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Optimal management of green certificates in the Swedish-Norwegian market
Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur (Journal article, 2017)We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account ... -
Stochastic Volatility Modeling of Emission Allowances Futures Prices in the European Union Emission Trading System Market
Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur (Chapter, 2017)We conduct an empirical investigation of the logreturns of the futures prices of the European Union Emission Trading System emission certificates traded in the Nord Pool market between 2005 and 2013. We observe heaviness, ...