基于机制转换模型的碳排放权期权定价

Option Pricing of Carbon Emission Allowance Based on a Regime Switching Model

机制转换模型可以将外部环境的变化迅速反映到对模型参数的调整中,故运用马氏链刻画外部机制建立机制转换模型,基于此进行碳排放权期权定价。为实现其价值函数的数值计算,首次设计并证明了一套倒向递归算法,该算法依据马氏链跳跃的划分实现递归,从而克服了马氏链带来的运算高复杂度,其数值结果展示了完整的波动率微笑和期限结构。最后通过与前人提出的算法以及蒙特卡洛模拟比较表明,倒向递归算法可获得更高的准确性和运算效率。

Regime switching reflects the changes of external environment of market into the adjustment of the model parameters,hence Markov chains are applied to capture the external regime in order to establish the regimes witching model,based on which the carbon emission allowance is priced.For the purpose of numerical implement of value functions,a backward recursive algorithm is designed and theoretically proved.The recursion relies on the division of whether the Markov chain jumps,and it conquers the high computational complexity brought by the Markov chain.Numerical results obtained by this approach present a completed volatility smile and term structure.Finally through the comparison with former algorithm and Monte Carlo simulation,this algorithm outperforms them in terms of precision and computational efficiency.