跳-扩散碳排放市场模型下的碳配额价格与期权定价  

Carbon Allowance Price and Option Pricing under the Jump-Diffusion Carbon Emission Market Model

作　　者：钱谊 QIAN Yi(School of Mathematics and Statistic,Xidian University,Xi'an 710126,China)

机构地区：[1]西安电子科技大学数学与统计学院,陕西西安710126

出　　处：《数学的实践与认识》2023年第11期94-103,共10页Mathematics in Practice and Theory

基　　金：陕西省杰出青年基金(2023-JC-JQ-05)。

摘　　要：研究碳排放市场中碳配额价格与期权定价的相关问题.通过引入基于跳-扩散过程建模碳排放量过程与相应的违约事件.利用风险中性定价理论,刻画碳配额期货价格公式.最后,研究以期货合约为标的资产的欧式期权定价问题.This paper explores the issues related to carbon allowance pricing and option pricing in the carbon emissions market.We introduce a jump-diffusion based process to model the carbon emissions process and corresponding default events.Using the risk-neutral pricing theory,we present the formula for the price of carbon allowance futures.Lastly,we investigate the pricing of European options with the futures contract serving as the underlying asset.

关 键 词：碳排放市场 违约事件 跳-扩散过程 风险中性定价 期权定价 

分 类 号：F830.9[经济管理—金融学] X196[环境科学与工程—环境科学]