基于GARCH-分形布朗运动的碳期权估值模型研究  

Research on the Model of Carbon Option Valuation Based on GARCH-Fractal Brownian Motion

作　　者：刘妍希 徐瑞[1] LIU Yanxi;XU Rui(School of Economics and Management,Guangxi University of Science and Technology,Liuzhou 545000,China)

机构地区：[1]广西科技大学经济与管理学院,广西柳州545000

出　　处：《商业观察》2025年第9期99-103,共5页BUSINESS OBSERVATION

摘　　要：随着绿色金融的推行,我国启动了碳排放权交易市场。碳交易市场是通过配额管理制度进行资源配置的有效手段,可以促进社会的低碳发展。文章以碳排放权期权交易为切入点,运用GARCH模型预测碳价收益率波动,并结合分形布朗运动期权定价模型对广州碳排放权期权进行估值。同时,将得到的结果与其他模型所得结果进行比较来验证文章所选取模型的有效性。结果显示,运用GARCH模型结合分形布朗运动期权定价模型能够更加精准地测算出碳期权价值。With the promotion of green finance,China has initiated a carbon emission trading market.The carbon trading market serves as an effective means of resource allocation through a quota management system,promoting low-carbon development of society.This study takes carbon emission option trading as the starting point,employs the GARCH model to predict fluctuations in carbon price returns,and combines the Fractal Brownian Motion option pricing model to value Guangzhou carbon emission options.Meanwhile,the obtained results are compared with those from other models to verify the validity of the selected model in this paper.The results indicate that the combination of the GARCH model and the Fractal Brownian Motion option pricing model can more accurately measure the value of carbon options.

关 键 词：碳排放权期权 GARCH模型 分形布朗运动期权定价模型 

分 类 号：F832.5[经济管理—金融学]