Carbon Emission Allowance and Oil Implied Volatility
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DOI: 10.1002/fut.22599
Abstract: This study develops a theoretical model to link carbon emission allowance (CEA) prices to oil implied volatility. The model identifies two channels: an explicit channel where rising CEA prices increase production costs, inventory, and option… read more here.
Keywords: implied volatility; cea prices; volatility; demand ... See more keywords