In relation to creating a CO2 emission permit market, there are two types of climate change policy risks: 1) It is uncertain whether and when a cap-and-trade system will be implemented; and 2) once a policy is in place, there may be government credibility issues. This paper examines the effect of...

This paper proposes an innovative algorithm that significantly improves on the approximation of the optimal early exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and leveraging the information in multiple cross sectional...

Green bonds are a form of bonds whose proceeds should be exclusively used for green projects. The green bond premium or greenium is the difference in yield between a green bond and the otherwise-identical brown bond. We propose a stylized model in which the size of the premium is affected by...