碳金融市场下基于模糊测度和Choquet积分的碳期权估值  

Carbon Option Pricing based on Fuzzy Measure and Choquet Integral in Carbon Financial Market

作　　者：于倩雯 吴凤平[1] 沈俊源 程铁军 YU Qianwen;WU Fengping;SHEN Junyuan;CHENG Tiejun(Institute of Planning and Decision-Making,Business School,Hohai University,Nanjing Jiangsu 211100,China;School of Economics,Nanjing University of Posts and Telecommunications,Nanjing Jiangsu 210023,China)

机构地区：[1]河海大学商学院河海大学规划与决策研究所,江苏南京211100 [2]南京邮电大学经济学院,江苏南京210023

出　　处：《北京理工大学学报（社会科学版）》2020年第1期13-20,共8页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：国家自然科学基金项目“市场导向下我国水权交易价格形成机制及其管制研究”(71774048);国家自然科学基金项目“基于三对均衡关系的碳排放初始权配置方法研究”(G031201);江苏省研究生科研创新计划项目“水污染物排污权有偿使用及交易定价问题研究”(KYCX17_0516);中央高校基本科研业务费专项资金(2017B727X14);江苏高校哲学社会科学研究项目“能源新常态背景下江苏省碳排放测度与配置研究”(2017SJB0087)

摘　　要：基于投资者对投资财富和风险的偏好研究碳期权定价模型。运用λ-可加模糊测度表示投资者对碳期权价值模糊度量的差异性,借助Choquet期望积分构建投资者的期望收益效用函数;根据投资财富效用最大化推导无约束条件下碳期权的最优价;结合现实约束条件,构建投资财富效用最大化下的碳期权定价模型;通过数值计算分析效用函数、模糊参数和现实约束对碳期权定价的影响。研究结果表明:效用函数的选择会体现投资者对碳期权投资风险态度的变化,模糊测度参数的取值能够反映碳期权投资者个体的主观情绪和市场信息获取程度,现实约束会迫使碳期权投资者放弃部分投资隐含价值。Based on the investor’s preference for investment wealth and risk,the carbon emission option pricing model is studied.First of all,the-additive fuzzy measure is used to represent the difference of investor’s fuzzy measure of carbon emission option value. The expect receipts utility function of investors is constructed by Choquet expectation integral. Secondly,according to the maximization of investment wealth utility,the optimal price of carbon option is derived under the condition of no constraint. Thirdly,combining the realistic constraints,the pricing model of the carbon emission option is constructed based on the maximization of investment wealth utility. Finally,the impact of utility function,fuzzy parameters and realistic constraints on the pricing of carbon emission option is analyzed by numerical calculation. The results show that the choice of utility function will reflect the change of investors’ attitudes towards carbon option investment risk. The value of fuzzy measure parameters can reflect the subjective sentiment of individual investors and the degree of market information acquisition. Realistic constraints will force carbon option investors to abandon part of the implicit value of investment.

关 键 词：碳排放权 期权定价 投资财富效用 模糊测度 Choquet期望积分 

分 类 号：F205[经济管理—国民经济] F124.5