quilibrium price processes in frictionless markets have been characterized in E a number of ways. Under risk neutrality, Samuelson (1965) first demonstrated the martingale property. Under risk aversion, one can present models in which the martingale property holds and models in which it does not (Lu
On the Stochastic Properties of Carbon Futures Prices
✍ Scribed by Chevallier, Julien; Sévi, Benoît
- Book ID
- 120928047
- Publisher
- Springer
- Year
- 2013
- Tongue
- English
- Weight
- 768 KB
- Volume
- 58
- Category
- Article
- ISSN
- 0924-6460
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