The climate rescue is on the top of many agendas. In this context, emission trading schemes
are considered as promising tools. The regulatory framework of an emission trading scheme
introduces a market for emission allowances and creates need for risk management by appropriate
financial contracts. We address logical
principles underlying the fair valuation of such derivatives.
Starting from the equilibrium of a market with risk averse players, we show that the
risk-neutral allowance price dynamics can be characterized in terms of a
fixed point equation which plays the same role as the central planer optimal
control problem for the non-risk averse situation. We show that derivatives valuation is naturally addressed in and can be obtained in this setting.
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