美式障碍期权在排放权交易中的应用

发布时间：2018-03-03 05:42

本文选题：美式障碍期权　切入点：二叉树　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：排放权交易与排污权交易并无本质区别,近年来,气候灾害频发,各地区排放排污的总量应进行更好的控制。但相对于国内经济活动的飞速发展和资源的运用,虽然我国管理部门已经开始了长时间的排放排污权试点和交易,并取得了一些成就,但交易量依然惨淡。究其原因,最大的因素就是交易体制不完善,交易方式及衍生产品使用并不广泛,使得市场气氛并不活跃,而排污排放权的特性很大程度上与金融衍生品的性质类似,通过众多文献了解到,我国的排污排放权市场经过了从研究到实践,从无到有的这个转变,但仍然处于一种摸着石头过河的初始阶段,更好的定价机制和市场机制需要从经济、金融类市场来借鉴,从他们的共同点出发,才能同时实现管控和市场发展的双效果。因此,已经发展成熟的金融产品更应该依据行业特性灵活的应用于该行业中,为其交易销售增加活力,吸引更多资金的进入,再通过市场的自我调节,达到资源合理配置的最终管控目的。基于这个思想,有了本文的创新点,文中提出将排放权指标制作成一种期权在市场中交易,用于增加市场活力,吸引金融资本介入,加快发展步伐。针对排放权交易的性质,推荐引入美式障碍期权,文中介绍了对当下美式障碍期权的定价理论,对二次近似法、蒙特卡洛模拟进行了简要的介绍和分析,对二叉树的定价进行推导和推荐,并用模糊理论对波动率的计算进行改进。对期权在排污排放权中的运用,用成本控制法展开初步的分析,并推荐更有市场价值的美式障碍期权,以期该行业人员增加对更多金融衍生品的了解,通过金融手段达到政府有效监管、公司成本控制、防范初级市场波动风险、实现市场合理分配等目的。若能获得排污排放权交易模式、产品等方面的灵感就更令人欣慰。希望奇异期权等金融产品能广泛应用于排污排放权交易当中。
[Abstract]:There is no essential difference between emission trading and emission trading. In recent years, climate disasters occur frequently, so the total amount of emission and emission should be better controlled. But compared with the rapid development of domestic economic activities and the utilization of resources, Although China's management has started a long period of pilot and trading of emission and emission rights, and has made some achievements, the trading volume is still very low. The biggest reason is that the trading system is not perfect. Trading methods and derivatives are not widely used, which makes the market atmosphere not active, and the characteristics of emission rights are similar to those of financial derivatives to a large extent. The emission emission rights market in our country has undergone this transformation from research to practice, but it is still in the initial stage of crossing the river by feeling the stone. A better pricing mechanism and market mechanism need to be used for reference from the economic and financial markets. Based on what they have in common, they can achieve dual effects of both control and market development. Therefore, developed financial products should be applied flexibly to the industry according to the characteristics of the industry, adding vitality to its trading and sales. To attract more funds into the market, and then through the self-regulation of the market to achieve the ultimate goal of reasonable resource management. Based on this idea, with the innovation of this paper, the paper proposes to make the emission rights index into an option to be traded in the market. In view of the nature of emissions trading, it is recommended to introduce American barrier option. In this paper, the pricing theory of American barrier option is introduced. Monte Carlo simulation is briefly introduced and analyzed, the pricing of binary tree is deduced and recommended, and the calculation of volatility is improved by fuzzy theory. Using the cost control method to carry out the preliminary analysis, and recommend American barrier options with more market value, in order to increase the industry personnel's understanding of more financial derivatives, through financial means to achieve effective government supervision, corporate cost control, To guard against the risk of fluctuation in the primary market and to achieve the objective of rational distribution of the market. If the trading mode of emission emission rights can be obtained, Product and other inspirations are all the more comforting. It is hoped that financial products such as exotic options will be widely used in emissions trading.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：X196;F832.5;F224

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