Black-Scholes模型在排污权初始分配定价中的应用  

An Application of Black-Scholes Model in Pricing Initial Allocation of Emissions

作　　者：汪珊珊[1] 李念[2] 王晶晶[2] 李晶[2] 陈金毅[2] 

机构地区：[1]武汉工程大学化工与制药学院,武汉430073 [2]武汉工程大学环境与城市建设学院,武汉430073

出　　处：《上海环境科学》2013年第4期149-152,共4页Shanghai Environmental Sciences

基　　金：武汉市软科学研究计划项目,编号:201040333122;武汉工程大学研究生教育创新基金

摘　　要：初始排污权的合理分配是污染物排放总量控制的核心，定价机制又是其中最重要的部分。为更好地切合国内的研究应用。比较了国内外关于初始排污权的分配方式及定价机制，在排污权期权机制Black-Scholes定价模型的基础上，对影响计算精确度的因素。即无风险利率、波动率、单位和交易日的确定等方面对B-S模型进行了修改和完善，使修改后的参数更科学。计算结果更准确。Reasonable initial allocation of emissions is the core of the pollutant total amount control, whilst its pricing mechanism would be the most important element. To fit the practice in research and application in China, the ways of initial emission allocation and pricing mechanism in China and abroad were compared. Based on Black-Scholes pricing model for option mechanism of emissions, the model has been improved in aspects of the factors that may influence its calculating accuracy such as non-risk interest, fluctuation ratio, unit and trading date determination, and etc., so that the modified parameters would be more rational and calculation outcome would be more accurate.

关 键 词：排污权交易 排污权初始分配 定价机制 期权机制 B-S模型 

分 类 号：X196[环境科学与工程—环境科学]