基于时变波动率的碳排放权期权价格的差异性研究

发布时间：2018-01-29 15:18

本文关键词： 碳排放权交易期权定价碳权定价波动率 GARCH模型族布莱克-舒尔斯　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：自工业革命以来，人类向大气中排放了大量的温室气体。由于气候变暖会给全球的生态以及社会、经济造成难以估量的损失，因而自上个世纪九十年代，世界各国就开始了艰苦的气候谈判，先后通过了《联合国气候变化框架公约》、《京都议定书》。特别是《京都议定书》，它使得碳排放权有了价值，并催生了碳排放权交易市场。目前，欧盟已经先行一步，建立了发达的碳排放权交易体系，而中国由于目前暂时不承担强制减排义务，只是通过清洁发展机制以相对较低的成本帮助发达国家减排，因而仍处在碳排放权价值链条的末端，，碳排放权交易市场也才刚刚起步，与欧盟等发达国家和地区相比差距较大。因此，作者试图通过本文的研究，能够给出中国发展碳排放权交易市场的建议，以缩小中国与发达国家的差距，让中国在未来的碳定价中有一定的话语权。期权的正确定价对促进碳排放权交易市场的有效性，使其稳定健康发展至关重要，对中国发展成熟的碳衍生产品市场也具有战略意义。本文在介绍了与本文相关的理论、引入GARCH模型族的波动率机理与碳排放权交易现状之后，以EUA08-12作为期权的标的资产，分析了其在2010年4月12日至2012年4月12日的价格走势，以其对数收益率时间序列为样本进行了单位根和相关性检验，在通过检验的基础之上，以GARCH模型族对其对数收益率的波动率进行了建模，通过赤池信息量准则选择出了最适合描述该时间序列的TARCH(1，1)模型，并以该模型修正的波动率结合布莱克-舒尔斯期权定价公式，对以EUA08-12为标的资产的两年期欧式看涨期权进行了定价，此外，还将此定价结果与传统布莱克-舒尔斯期权定价的结果、其它GARCH模型族的定价结果、实际价格进行了对比分析,结果显示GARCH模型族的定价结果并不最接近于实际价格、EUA08-12的波动率存在着不对称性、EUA08-12市场是无效的；最后，结合本文的前述研究，确定了中国发展碳排放权交易市场的战略，并给出了合理的建议。
[Abstract]:Since the Industrial Revolution, mankind has emitted a large amount of greenhouse gases into the atmosphere. Since -10s, the global warming will cause incalculable losses to the global ecology and society and economy. Countries around the world began arduous climate negotiations, passed the United Nations Framework Convention on Climate change, the Kyoto Protocol, especially the Kyoto Protocol, which makes carbon emission rights valuable. At present, the European Union has established a developed carbon trading system, and China has not assumed the obligation to reduce emissions for the time being. Only through the clean development mechanism at relatively low cost to help developed countries to reduce emissions, so still in the end of the value chain of carbon emissions, carbon emissions trading market is just beginning. Compared with the European Union and other developed countries and regions, the gap is large. Therefore, the author tries to give some suggestions on the development of carbon emissions trading market in China through the research in this paper, in order to narrow the gap between China and developed countries. The correct pricing of options is essential to promote the effectiveness of the carbon emissions trading market and make it develop steadily and healthily. It is also of strategic significance for the development of mature carbon derivatives market in China. This paper introduces the theory related to this paper, the volatility mechanism of GARCH model family and the current situation of carbon emissions trading. Taking EUA08-12 as the underlying asset of option, the price trend from April 12th 2010 to April 12th 2012 is analyzed. The unit root and correlation are tested with the time series of logarithmic rate of return. On the basis of the test, the volatility of the logarithmic rate of return is modeled by the GARCH model family. The TARCH1) model, which is most suitable for describing the time series, is selected by using the red pool information quantity criterion, and the modified volatility is combined with Black-Schuls option pricing formula. The two-year European call option with EUA08-12 as the underlying asset is priced. In addition, the pricing result is compared with that of the traditional Black-Schuls option. The pricing results of other GARCH model families are compared with the actual prices. The results show that the pricing results of the GARCH model families are not the closest to the actual prices. The volatility of EUA08-12 exists asymmetry EUA08-12 market is ineffective; Finally, the strategy of developing carbon emissions trading market in China is determined, and some reasonable suggestions are given.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F205;F224

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