【作者】 刘达；

【导师】 郭森； 李东伟；

【作者基本信息】 华北电力大学(北京) ， 金融硕士（专业学位）， 2023， 硕士

【摘要】 随着全球经济的快速发展,温室气体排放引起的气候问题日益严重,为了控制气候变暖的趋势,世界各国开始设立碳减排目标,探索低碳发展的道路。为了实现“碳达峰、碳中和”目标,我国积极开展碳排放权交易,碳排放权交易已经由区域性的试点交易发展为全国性的交易,我国碳市场有着巨大的发展潜力。北京、上海等地区先后推出了碳现货和基于现货的碳金融衍生品,但截至目前,我国碳市场中的碳期货、碳期权等金融衍生品仍相对缺乏。碳期权可以平抑碳价格波动、提高碳市场流动性,对碳市场可持续发展至关重要,而合理的期权定价是碳期权产品设计的关键。因此,本文选择了碳期权进行定价研究,为我国碳市场推出碳期权产品提供借鉴。本文主要基于碳市场和期权定价相关理论研究碳期权定价问题。本文选择了 B-S期权定价模型作为基础,但是传统B-S模型无法充分抓住金融市场中存在的波动率集聚现象,难以贴合金融市场中标的资产收益率尖峰厚尾分布特点。因此,为了解决传统B-S模型存在的不足,本文引入偏度和峰度来修正B-S模型,并使用GARCH模型计算波动率,构建了引入偏度和峰度的GARCH-B-S碳期权定价模型。为了验证模型定价效果,本文还构建了传统B-S碳期权定价模型、引入偏度和峰度的B-S碳期权定价模型和GARCH-B-S碳期权定价模型进行对比。在实证部分本文选取了欧洲能源交易所EUA期权交易数据,运用建立的四个模型对碳期权价格进行了计算,并和实际价格进行了比较和误差分析。研究结果发现:标的资产EUA期货的对数收益率序列具有典型的金融收益率序列特征,即尖峰厚尾、波动聚集、平稳且具有明显的ARCH效应,四种碳期权定价模型计算得到的理论价格波动趋势和实际价格波动趋势基本一致,均方根误差、平均绝对误差、均方误差和平均绝对百分比误差均较小,但引入偏度和峰度的GARCH-B-S碳期权定价模型计算得到的理论价格和实际价格拟合度最好、误差最小,明显优于其他模型,更适合应用于碳期权的定价。基于本文的研究成果,为促进我国碳市场发展提出以下政策建议:碳市场金融衍生品的推出需要以成熟的现货市场为基础,需要借鉴国外经验逐步完善碳市场交易体系;引入适用于我国碳市场的碳金融衍生品;制定完善的碳市场风险防控措施;研究更为精准的碳期权定价模型。本文利用改进B-S模型研究碳期权定价,不仅有助于丰富碳期权定价理论,还有助于我国碳期权等金融衍生品的推出,建设完善的碳市场,助力“双碳”目标的实现。更多还原

【Abstract】 With the rapid development of the global economy,the climate problems caused by greenhouse gas emissions are becoming more and more serious.In order to control the trend of climate warming,countries around the world have started to set carbon emission reduction targets and explore the road of low-carbon development.In order to achieve the goal of"carbon peaking and carbon neutral",China has actively carried out carbon emissions trading,and carbon emissions trading has developed from regional pilot trading to national trading,and China’s carbon market has great potential for development.Beijing.Shanghai and other regions have launched carbon spot and spot-based carbon financial derivatives,but up to now,there is still a relative lack of carbon futures,carbon options and other financial derivatives in China’s carbon market.Carbon options can smooth out carbon price volatility and improve carbon market liquidity,which are crucial to the sustainable development of the carbon market,while reasonable option pricing is the key to carbon option product design.Therefore,this paper selects carbon options for pricing research to provide a reference for the introduction of carbon option products in China’s carbon market.This paper is mainly based on carbon market,option pricing and other related theories to study the pricing of carbon options.This paper chooses the B-S option pricing model as the basis,but the traditional B-S model cannot fully capture the volatility agglomeration phenomenon existing in the carbon financial market,and it is difficult to fit the characteristics of the spike and thick-tail distribution of the underlying asset returns in the carbon financial market.Therefore,in order to address the shortcomings of the traditional B-S model,this paper introduces skewness and kurtosis to modify the B-S model,and uses the GARCH model to calculate the volatility,and constructs a GARCH-B-S carbon option pricing model with the introduction of skewness and kurtosis.In order to verify the pricing effect of the model,the traditional B-S carbon option pricing model,the B-S carbon option pricing model with the introduction of skewness and kurtosis and the GARCH-B-S carbon option pricing model are also constructed in this paper for comparison.In the empirical part of this paper,we selected EUA option trading data from the European Energy Exchange and used the four models established to calculate carbon option prices,and compared them with the actual prices and conducted error analysis.The results of the study found that:the logarithmic yield series of the underlying asset EUA futures has typical financial yield series characteristics,i.e.,spikes and thick tails,volatility aggregation,smoothness and obvious ARCH effect,and the theoretical price volatility trends calculated by the four carbon option pricing models are basically consistent with the actual price volatility trends,and the root mean square error,mean absolute error,mean square error and mean absolute percentage error are all relatively However,the GARCH-B-S carbon option pricing model with the introduction of skewness and kurtosis has the best fit and the smallest error between the theoretical price and the actual price,which is significantly better than the other models and more suitable for the pricing of carbon options.Based on the research results of this paper,the following policy recommendations are proposed to promote the development of China ’s carbon market:the introduction of carbon market financial derivatives needs to be based on a mature spot market,and it is necessary to learn from foreign experience to gradually improve the carbon market trading system;introduce carbon financial derivatives suitable for China ’s carbon market;to formulate perfect carbon market risk prevention and control measures;study a more accurate carbon option pricing model.This paper uses the improved B-S model to study the pricing of carbon options,which not only helps to enrich the carbon option pricing theory,but also helps the introduction of financial derivatives such as carbon options in China,the construction of a perfect carbon market,and the realization of the ’double carbon’ goal.更多还原