We discuss the pricing of carbon emission allowances in the European Union Emission Trading Scheme (EU ETS) context. We study the EU ETS price, according to a given sector's players aggregation : the electricity producers. We model the indifference price with a stochastic control problem for a producer that can dynamically switch between coal, gas or hydro power plants, and/or buy/sell emission allowances. We discuss the computation of the indifference price sensitivities.