本文選題：美式障礙期權(quán)　切入點：二叉樹　出處：《吉林大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：排放權(quán)交易與排污權(quán)交易并無本質(zhì)區(qū)別,近年來,氣候災(zāi)害頻發(fā),各地區(qū)排放排污的總量應(yīng)進行更好的控制。但相對于國內(nèi)經(jīng)濟活動的飛速發(fā)展和資源的運用,雖然我國管理部門已經(jīng)開始了長時間的排放排污權(quán)試點和交易,并取得了一些成就,但交易量依然慘淡。究其原因,最大的因素就是交易體制不完善,交易方式及衍生產(chǎn)品使用并不廣泛,使得市場氣氛并不活躍,而排污排放權(quán)的特性很大程度上與金融衍生品的性質(zhì)類似,通過眾多文獻了解到,我國的排污排放權(quán)市場經(jīng)過了從研究到實踐,從無到有的這個轉(zhuǎn)變,但仍然處于一種摸著石頭過河的初始階段,更好的定價機制和市場機制需要從經(jīng)濟、金融類市場來借鑒,從他們的共同點出發(fā),才能同時實現(xiàn)管控和市場發(fā)展的雙效果。因此,已經(jīng)發(fā)展成熟的金融產(chǎn)品更應(yīng)該依據(jù)行業(yè)特性靈活的應(yīng)用于該行業(yè)中,為其交易銷售增加活力,吸引更多資金的進入,再通過市場的自我調(diào)節(jié),達到資源合理配置的最終管控目的�；谶@個思想,有了本文的創(chuàng)新點,文中提出將排放權(quán)指標制作成一種期權(quán)在市場中交易,用于增加市場活力,吸引金融資本介入,加快發(fā)展步伐。針對排放權(quán)交易的性質(zhì),推薦引入美式障礙期權(quán),文中介紹了對當下美式障礙期權(quán)的定價理論,對二次近似法、蒙特卡洛模擬進行了簡要的介紹和分析,對二叉樹的定價進行推導(dǎo)和推薦,并用模糊理論對波動率的計算進行改進。對期權(quán)在排污排放權(quán)中的運用,用成本控制法展開初步的分析,并推薦更有市場價值的美式障礙期權(quán),以期該行業(yè)人員增加對更多金融衍生品的了解,通過金融手段達到政府有效監(jiān)管、公司成本控制、防范初級市場波動風(fēng)險、實現(xiàn)市場合理分配等目的。若能獲得排污排放權(quán)交易模式、產(chǎn)品等方面的靈感就更令人欣慰。希望奇異期權(quán)等金融產(chǎn)品能廣泛應(yīng)用于排污排放權(quán)交易當中。
[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.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：X196;F832.5;F224

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