核证减排量(CER)衍生产品定价研究

中图分类号：F831.5UDC分类号：336.1核证减排量（CER）衍生产品定价研究王胜刚摘要本研究主要是在分析研究期货期权定价模型的基础上，结合碳金融方面的知识对核证减排量（CER）衍生产品进行实证方面的定价研究。本论文先从选题背景和意义对CER及其衍生产品进行分析，研究CER交易对我国的重要性以及CER衍生产品交易的现状；然后采用欧洲气候交易所ECX的历史数据来对CER期货进行实证方面的定价研究，并分析研究了CER期货的市场价格走势以及CER期货的理论价格与实际市场价格之间的差异及产生这种差异的原因。同时，本论文还引入期权的相关知识及期权定价模型，进一步研究分析将定价模型应用于CER期权定价的可行性，同时采用欧洲气候交易所的历史数据来确定CER期权标的物的波动率，再根据历史波动率利用传统的期权定价公式“B—S”公式来对CER期权进行定价分析；经研究发现，CER期权的理论价格与实际市场价格之间的差异巨大，为了研究这种差异产生的原因，本论文先从定价模型本身考虑，来验证是否因历史波动率的估值不准而造成了这种差异，为了进行这种验证，本论文计算出了一定时间内CER期权合约的隐含波动率，经研究发现即使同一天所成交的不同的CER期权合约，其隐含波动率之间也经常存在巨大差异，从而发现CER期权合约的价格在以定价模型为基础的情况下还要受到CER项目、减排政策、购买者预期等多个因素的影响，并对这些因素做了逐一研究。最后结合目前世界范围内碳交易市场的现状和我国在碳交易中所面临的问题，再次分析了对CER衍生产品进行定价研究对我国的意义以及碳金融发展的未来趋势。关键词：碳金融；清洁发展机制（CDM）；核证减排量（CER）；期货；期权AbstractThegraduationthesisendeavorsinstudyoftheempiricalaspectsofCERderivativespricing.Thethesisbeginswithresearchbackgroundandsignificanceofthethesis,analysestheimportanceofCERtradingtoChinaandthethestatusofCERderivativetransactions.ItalsoanalysespricingofCERfuturesbyusingdataoftheEuropeanClimateExchangeECX,themarketpricemovementsofCERfuturesanddifferencebetweentheactualmarketpriceandtheoreticalprice.Atthesametime,thepaperalsointroducesrelatedknowledgeofoptionsandtheoptionpricingmodel,andfurtheranalysesthefeasibilitytoapplytheoptionpricingmodeltoCERoptionpricing;simultaneouslythepapertriestodeterminethefluctuationsrateofCERFutureswiththehistoricaldataoftheEuropeanclimateexchange,andassessesthepriceofCERoptionusing“B-S”pricingmodelaccordingtothehistoricalfluctuationrate.Fromthestudy,wefindthedifferenceishugebetweentheCERoption'stheoreticalpriceandtheactualmarketprice.Tofindthereasonofthiskinddifference,thispaperfirstverifiestheaccuracyofthevaluationofhistoryfluctuation'srate.Inordertocarryonthiskindofconfirmation,thepapercalculatesalltheimplicitvolatilityofCERoptionsintheEuropeanclimateexchangefromMarch6,2009toApril20,2010.Fromtheresults,wefindthat,evenforthedifferentCERoptioncontractinthesameday,thedifferenceofimplicitvolatilityisfrequentlyhugeamongdifferentCERoption.SowediscoverthatmanyfactorsaffectthepriceofCERoptionbesidespricingmodel,suchasCERproject,policy,anticipationofbuyerandsoonandanalysesthesefactors’impact.Finally,thepaperemphasizestheimportanceofstudyingCERderivativepricingtoourcountryandfuturetendencyofcarbonfinancedevelopmentcombiningactualsituationofcarbontradingmarketintheworldwideandproblemsthatourcountryarefacinginthecarbontransaction.KeyWords:CarbonFinance；ClearDevelopmentMechanism(CDM)；CertificationEmissionReduction(CER)；Futures；Option北京理工大学硕士学位论文I目录第1章绪论.........................................................................................................11.1本论文研究的目的和意义........................................11.2碳金融........................................................21.2.1碳金融的兴起.............................................21.2.2碳金融的特征及其发展趋势.................................31.3清洁发展机制与核证减排量......................................41.4国内外研究现状................................................51.5小结..........................................................6第2章核证减排量期货的定价研究...............................................................72.1核证减排量期货的交易现状......................................72.2模型的建立和数据的采集........................................82.2.1模型的建立...............................................82.2.2数据的采集...............................................82.3实证分析研究..................................................92.4小结.........................................................12第3章核证减排量期权定价模型的选择及参数的确定............................143.1期权的类型及性质.............................................143.2将B-S公式应用于核证减排量期权定价研究的可行性分析............153.2.1Black—Scholes微分方程.................................153.2.2Black—Scholes定价公式.................................173.2.3可行性分析..............................................183.3参数的确定...................................................183.4波动率的估计.................................................193.4.1历史波动率的确定........................................193.4.2隐含波动率的估计........................................21北京理工大学硕士学位论文II3.5小结.........................................................21第4章核证减排量期权定价研究..................................................................224.1数据的采集...................................................224.2参数的确定...................................................234.3实证研究......................................................244.3.1历史波动率下核证减排量期权的理论价格与实际价格之间的比较244.3.2隐含波动率下核证减排量期权的理论价格与实际价格之间的比较254.4小结.........................................................27总结与展望........................................................................................28参考文献............................................................................................31附录....................................................................................................................34附表1：CER期货理论价格计算结果.................................34附表2：计算历史波动率所用数据....................................37附表3：CER期权原始数据.........................................39附表4：CER期权理论价格与实际价格之间的误差......