本文關(guān)鍵詞： 碳排放權(quán)交易 期權(quán)定價 碳權(quán)定價 波動率 GARCH模型族 布萊克-舒爾斯　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：自工業(yè)革命以來，人類向大氣中排放了大量的溫室氣體。由于氣候變暖會給全球的生態(tài)以及社會、經(jīng)濟造成難以估量的損失，因而自上個世紀(jì)九十年代，世界各國就開始了艱苦的氣候談判，先后通過了《聯(lián)合國氣候變化框架公約》、《京都議定書》。特別是《京都議定書》，它使得碳排放權(quán)有了價值，并催生了碳排放權(quán)交易市場。目前，歐盟已經(jīng)先行一步，建立了發(fā)達的碳排放權(quán)交易體系，而中國由于目前暫時不承擔(dān)強制減排義務(wù)，只是通過清潔發(fā)展機制以相對較低的成本幫助發(fā)達國家減排，因而仍處在碳排放權(quán)價值鏈條的末端，，碳排放權(quán)交易市場也才剛剛起步，與歐盟等發(fā)達國家和地區(qū)相比差距較大。 因此，作者試圖通過本文的研究，能夠給出中國發(fā)展碳排放權(quán)交易市場的建議，以縮小中國與發(fā)達國家的差距，讓中國在未來的碳定價中有一定的話語權(quán)。期權(quán)的正確定價對促進碳排放權(quán)交易市場的有效性，使其穩(wěn)定健康發(fā)展至關(guān)重要，對中國發(fā)展成熟的碳衍生產(chǎn)品市場也具有戰(zhàn)略意義。本文在介紹了與本文相關(guān)的理論、引入GARCH模型族的波動率機理與碳排放權(quán)交易現(xiàn)狀之后，以EUA08-12作為期權(quán)的標(biāo)的資產(chǎn)，分析了其在2010年4月12日至2012年4月12日的價格走勢，以其對數(shù)收益率時間序列為樣本進行了單位根和相關(guān)性檢驗，在通過檢驗的基礎(chǔ)之上，以GARCH模型族對其對數(shù)收益率的波動率進行了建模，通過赤池信息量準(zhǔn)則選擇出了最適合描述該時間序列的TARCH(1，1)模型，并以該模型修正的波動率結(jié)合布萊克-舒爾斯期權(quán)定價公式，對以EUA08-12為標(biāo)的資產(chǎn)的兩年期歐式看漲期權(quán)進行了定價，此外，還將此定價結(jié)果與傳統(tǒng)布萊克-舒爾斯期權(quán)定價的結(jié)果、其它GARCH模型族的定價結(jié)果、實際價格進行了對比分析,結(jié)果顯示GARCH模型族的定價結(jié)果并不最接近于實際價格、EUA08-12的波動率存在著不對稱性、EUA08-12市場是無效的；最后，結(jié)合本文的前述研究，確定了中國發(fā)展碳排放權(quán)交易市場的戰(zhàn)略，并給出了合理的建議。
[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.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.91;F205;F224

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