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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Carbon Tax Uncertainty Evidence from the Implied Volatility Surface |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 95 |
| Date | 2023 |
| Abstract Text | Climate policy uncertainty makes it difficult for investors to assess the impact of future climate regulations. This thesis investigates how uncertainty about carbon taxation is priced in the option market. The results show that the cost of protection against downside and jump risk is higher for firms with high carbon intensity, and firms that do not report carbon emissions. The value of option protection increases when attention to carbon taxation is high. |
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