国际碳排放期权套期保值分析:以EU ETS为例

International Carbon Emission Allowance Option Hedging——An Empirical Analysis of EU ETS

运用随机扩散模型研究EU ETS碳排放期货交易的套期保值。利用欧洲气候交易所(ECX)交易的欧盟排放配额(EUA)期权数据估计Black-Scholes、Heston模型和跳跃扩散模型参数,比较随机波动模型、BS模型和跳跃扩散模型拟合市场EUA期权价格、隐含波动率误差。实证研究表明:Heston随机波动模型更好地刻画EUA期权数据特征;最后给出DEC10期权合约基于Heston模型的套期保值曲面。

This paper researches the hedging in the emission allowance futures trading ifithe EU ETS. It uses the EUA data from ECX to estimate the Black-Scholes, Heston and Jump-Diffusion models. The result shows that Heston model fit EUA options historical prices and implied volatility data better than Black-Seholes model and Jump-Diffusion model. And then it gives the hedging surface base on Heston model.