摘要
碳交易市场是实现“30·60”双碳目标的重要途径,丰富的碳金融衍生品有助于增加碳市场活性,可以更好地发挥发现价格和风险管理功能,对于健全碳市场具有重要作用。本文选取活跃度较高的湖北碳排放配额作为标的,参照国际碳市场经验,并结合我国已有的期权条款,设计碳期权,利用ARMA-GARCH模型、R/S法完成对市场波动率及Hurst指数的估值。研究表明:湖北碳排放配额收益率具有明显的条件异方差特征,且波动具有显著的持续性;碳排放交易市场Hurst指数小于0.5,市场非有效,具有反持久性特点。在此研究基础上,完成对所设计碳期权的估值,并发现当市场非有效时,传统B-S公式和分形B-S公式对于期权估值差异较为显著。基于此,应加快完善碳市场建设,积极开展碳金融创新实践,加强碳交易市场国际合作。
The carbon trading market is a significant way to achieve the “30·60” double carbon goals. Abundant carbon financial derivatives help to increase the activity of the carbon market, can better play the functions of price discovery and risk management, and play an important role in the soundness of the carbon market. This paper selects the highly active Hubei carbon emission quota as the target, re-ferring to the experience of the international carbon market.Combined with China 's existing option terms, the article designs carbon options, and uses ARMA-GARCH model and R/S method to complete the valuation of market volatility and Hurst index. The research shows that the return rate of carbon emission quotas in Hubei has obvious conditional heteroscedasticity characteristics, and the fluctuation has significant persistence;the Hurst index of the carbon emission trading market is less than 0.5, the market is not efficient, and it has the characteristics of anti-persistence. On the basis of this research, the valuation of the designed carbon options is completed, and it is found that when the market is inefficient, the traditional B-S formula and the fractal B-S formula have a significant difference in option valuation.Therefore, it is necessary to speed up the improvement of carbon market construction, actively carry out carbon financial innovation prac-tices, and strengthen international cooperation in carbon trading markets.
作者
王春霞
李佳彪
WANG Chunxia;LI Jiabiao
出处
《价格理论与实践》
北大核心
2023年第7期156-159,211,共5页
Price:Theory & Practice
基金
河北省高校基本科研业务费项目:低碳背景下河北省碳金融产品设计及风险防范研究(JYT2021018)。
关键词
碳期权设计
条件异方差
市场非有效
B-S模型
carbon option design
conditional heteroscedasticity
market inefficiency
B-S model
