核证减排量(CER)衍生产品定价研究.docx

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1、AbstractThegraduationthesisendeavorsinstudyoftheempiricalaspectsofCERderivativespricing.I,hethesisbeginswithresearchbackgroundandsignificanceofthethesis,analysestheimportanceofCERtradingtoChinaandthethestatusofCERderivativetransactions.ItalsoanalysespricingofCERfuturesbyusingdataoftheEUrOPCanClimate

2、ExchangeECX1themarketpricemovementsofCERfuturesanddifferencebetweentheactualmarketpriceandtheoreticalprice.Atthesametime,thepaperalsointroducesrelatedknowledgeofoptionsandtheoptionpricingmodel,andfurtheranalysesthefeasibilitytoapplytheoptionpricingmodeltoCERoptionpricing;simultaneouslythepapertricst

3、odeterminethefluctuationsrateofCERFutureswiththehistoricaldataoftheEuropeanclimateCXChangC,andassessesthepriceofCERoptionusingB-Spricingmodelaccordingtothehistoricalfluctuationrale.FrOmthestudy,WefindtheditTerenceishugebetweentheCERoptionstheoreticalpriceandtheactualmarketprice.ofindthereasonofthisk

4、inddifference,thispaperfirstverifiestheaccuracyofthevaluationofhistorj,fluctuationsrate.Inordertocarryonthiskindofconfirmation,thepapercalculatesalltheimplicitvolatilityofCERoptionsintheEuropeanclimateexchangefromMarch6,2009toApril20,2010.Fromtheresults,wefindthat,evenforthedicrcnlCERoptioncontracti

5、nthesameday,lhcdifferenceofimplicitvolatilityisfrequentlyhugeamongdifferentCERoption.SoWediscoverthatmanyfactorsaffectthepriceofCERoptionbesidespricingmodel,suchasCERproject,policy,anticipationofbuyerandsoonandanalysesthesefactorsimpact.Finally,thepaperemphasizestheimportanceofstudyingCERderivativep

6、ricingtoourCoUnlryandfuturetendencyofcarbonfinancedevelopment.biningactualsituationofcarbont11V时，发达国家才会从发展中国家购买排放额度来完成减排目标;当MC=V时,发达国家的境内减持量即为购买排放额度与否的临界点.因此，发展中国家是否对排放交易进行限价，以及限价点的不同均会对排放交易产生影响。1.5小结能源危机和环境危机是人类长期发展所需面对的两个极为严重的危机。由于大量碳基能源的消耗所引发的温室效应、环境恶化和全球生态系统的持续性退化已经引起世人的普遍关注，人类要走出这种危机则必须转变经济发展方式

7、、减少温室气体的排放。在这种大环境卜.，源于京都议定书和6联合国气候变化框架公约的碳金秋市场应运而生，且该市场的交易规模一直在大幅度提高。从长银行欧元区的主导利率作为参数(欧洲中央银行在2009年4月8日将其主导利率由1.50%卜调到了1.25%；2009年5月13日又一次卜调至l.%,至今未变)：天数计算采用“实际天数/360”的方法，这也是三种天数计算惯例之一。采用公式一利用选中的数据对2009年12月9日到期的CER期货进行理论上的定价(CER期货的交割期均在12月份)计算结果见附表I：说明：“F”值是计算得出的2009年12月9日到期的CER期货的理论价格。“DeCo9Sell”值是欧

8、洲气候交易所(ECX)2009年12月9日到期的CER期货的实际价格数据.(3) “Spot”值是现货价格，即S1.(4) “DeC09Seit”值和“Spot”值是来自于欧洲气候交易所的真实数据，以公式尸-市场价格市场价格l(X)%计算得出理论价格与市场价格之间的相对误差,结果见表2.2：表22CER期货理论价格与市场价格之间的相对误差.IcDuteaMteaDsue(/a2009-4-11.06%2009-5-22032%2009-7-130.49%2C09-8-3I0.35%2C09-IQ-I91.86%2004-20.97%200-5-260.w2009-7-140.57%200畋I0

9、.42%2(X19-10-202.30%2009-431.15%2OO9-527U.23%297IS0.01%200Q升2027%29l(2l1.44%20094-61.(15%2009-528).%2009-7.16040%2009930.42%200940-221.70%2009-4-71.05%2009-5-290.54%2009-7-170.64%2OO9-281.64%2OO9-M50.83%2009-6-40.2H%2009-7-230.46%2009-9-100.40%2OO9IO291.28%20094160.83%20096-50.52%2009-7-240.54%20099

10、11036%2CO9-10-301.43%294I71.20%20096-80.54%2(X)9-7.270.61%2(XW9I41.14%2009-11-2I.B%24W94201.57%2009690.51%20(19-7.2H0.53%2009-9-150.86%2009-11-31.21%20094211.46%2009-6-100.51%2009-7-290.86%20099161.57%2009-11-41.14%编号:时间：2021年X月X日书山有路勤为径，学海无涯苦作舟页码：第S页共53页19)32(XW10.58ISO62(IO911.0214-W-2(XW12.26W-12

11、-200912.822fM)32(X)910.2I9O62OO9H.4515f92912.76IOI2-2OO912.7523-03200910.7722-06-200911.16I6)92OO912.6911-12-200913.0024B2OO910.1123-06-200911.3617-09-200912.4714-12-200912.9725()32(XW9.542406-2(X)911.63a-w2xw12.45260320099.752506-200911.83214用2()0912.7227-03-200910.0426-06-200911.7322-09-200912.563

12、032()0910.0429-06-2009I2.23S2OO912.23数据来源：欧洲气候交易所ECX附表3：CER期权原始数据DateContacccCdl3012.260.0720096-1091.ccCdl1511.500.9320096】。9-DccPut611.500.1020096-1294cCall1011.162.4020096-1294cCaJI1411.160.9820096159DccCall1210.611.262009-7-19-DccCall1611.930.73数据来源：欧洲气候交易所ECX附表3：CER期权原始数据续表DateContactMonthCalVP

13、utStrikePrice(f)UnderlyingPrice()SettlementPrice(O2009-7-29DecCaJI1611.880.742009-7-J59-DccCall1512.821.192(X)9-7-219DccCall1512.901.172009-7-229DecCall1512.821.122009-7-319DevCdl1612.2S0.592009-8-79-DccCall1512.690.852(X)9-8-129-DccCall1515.660.7420098249DecCall1313.35I.7l2009-9-39DecCdl1613.510.68

14、2009-9-99-DccCall1513.400.822009-9-109DccCall1513.280.762009-9-219DecCall1512.720.532009-9-239DecCall1512.230.412009-9-249-DccCull1511.850.3429-10-l39-DccCall1513.330.562009-10149DecCall1513.630.652009-11-129DecCdl1312.310.422009-12-39-DccCall1212.860.92编号:时间：2021年X月X日书山有路勤为径，学海无涯苦作舟页码：第43页共53页2009-

15、12-494XCan1413.130.06数据来源：欧洲气候交易所ECX附表4：CER期权理论价格与实际价格之间的误差日期到期日期权理论价格期权实际价格误差2009-1-132009-12-91.081.2916.08%2009-1-152009-12-91.72!.909.26%2009-1-202009-12-91.131.5828.36%2009-1-202009-12-90.070.2572.59%2009-1-272009-12-90.500.9647.81%2009-1-272009-12-91.282.8254.68%2009232009-12-900.0197.66%2009-

16、2-42(X)9-12-90.921.3933.52%29-2-62009-12-90.360.7048.37%29-2-92009-12-90.260.5653.08%29-2-92(X)9-12-90.030.1476.77%20092132009-12-90.110.3367.51%2009-2-172009-12-90.110.3367.35%2009-2-182009-12-90.110.3769.92%2009-3-32009-12-90.120.3667.37%2009-3-62()09-12-90.991.4833.03%2009-3-162009-12-90.831.4141

17、.22%2009-3-242009-4-232()09-4-2429-5-629-5-629-5-62009-5-72009-5-729-5-72009-5-112(X)964296-42009-6-102009-6-102009-6-122009-6-122009-6-1529-7-l2009-7-22tX)9-7-152009-12-92009-12-92009-12-92009-12-92009-12-92009-12-92009-12-92009-12-92009-12-92009-12-92009-12-92009-12-92009-12-92009-12-92(X)9-12-920

18、09-12-92009-12-92009-12-92009-12-92009-12-9&。9口49:277卜1.SSS20.1.SO.1.35.91%37.92%36.98%19.94%35.26%44.91%19.29%34.47%44.34%21.05%24.64%86.58%40.96%-5457.05%13.00%35.76%27.61%41.93%44.70%31.51%数据来源：欧洲气候交易所ECX附表4:CER期权理论价格与实际价格之间的误差续表日期到期日期权理论价格期权实际价格误差2009-7-212009-12-90.811.1730.48%2009-7-222009-12-

19、90.781.1230.41%2009-7-312009-12-90.390.5934.23%29-8-72009-12-90.650.8523.26%2009-8-122009-12-92.030.74-174.91%2009-8-242009-12-91.551.719.18%29-9-32009-12-90.530.682l.6%29-9-92009-12-90.700.8214.35%2009-9-102009-12-90.650.7614.11%2009-9-212009-12-90.410.5322.49%2009-9-232009-12-90.280.4130.79%2009-9

20、-242009-12-90.210.3438.82%2009-10-132009-12-90.430.5622.47%2009-Q1420(9-l2-90.520.6519.68%2()09-11-122009-12-90.370.4212.21%编号:时间：2021年X月X日书山有路勤为径，学海无涯苦作舟页码：第45页共53页2009-12-32009-12-90.910.922009-12-42009-12-90.050.061.04%21.50%数据来源：欧洲气候交易所ECX附表5:网含波动率计算结果执行日签约日隐含波动率CER期权理论价格实际价格执行日签约日隐含波动率CER期权理论价格

21、实际价格MKI-12-92OO9-MOftlI耶MK200l2-92IW-9-90.53OW02009-12-92W9-3-16OMI-M1.412009-12-92009SHO0.520.77076200912102009M60.942.972.982009-12-92009-9-210.530.5303320CF)-12.122009-4Xi131J.M3S42009-12920099-230.550.420.412X-12llW1.251.MH)WJ29HM)9%2s0.570350342009-12-1220CKM；1343443.4620OM2-I02009-10-71.451.88

22、19200912-112009481.21.631.64200942-102XW1091.421.971.982009-12-92009-4-230591.(UIa3)09-12-92009.I0-B0.540.560362009-12-9次必24OMI1141.14HJWi290.540.66052009-12-92009-5-60612282.242OW-I2-IO2W6IOI41.46236236编号:时间：2021年X月X日书山有路勤为径，学海无涯苦作舟页码：第46页共53页2009-12-92009”0611321302OWI2IO200910281.671.971.9629I292

23、009-5061920.90N)O9.12.92li-i20.520.4.10.4229I292009-57C1.d2282.2624MW-I2-IO211.172.112.47318XO9.292009-5-7OAIIM1.31HX1211HXAJ1273.W2.462.462009-12-92009-5-70610930.91201012-112OIO-1-I20.721.992002OWI21I2009-5-71.154.504332OIOI2-II20101”0.712.88W2期12.122009-571235355.592010-12-112OIO1-I50.692.952.962

24、IXW-12-122O(9-5?1.295.025X12O.MO20101-200.471.帆1.952OW-I2-92009-5-110601362.382OII2-IO2()10-1-220.461.85IS52009-12-102OOT51I0.981662.682010121120101-220.652.6426621W-12.112009.5il1.213.643怒2010-12-103)10.1.250.45l.*M1.962X-12122009-SIII.M，384392010-12-102010-1-26).441.26I272009-12-102OC9-5-l90972132

25、.142OIO-I2I12010-1-270.622.272272009-12112OO95I91.183.013.01201012-1120101-270.621.971.992IW-12.122OO9-519133XSO3*22010-12-1120102-10.621.4.11.44200912-920094.-4(Sl1.881.852010-12-112010-2-40.611.00IXII29-l2-92009-6-40620070.072OIO-I2-IO2010-2-80.421.351322OOTI2-920096IQa60.940.93201012122OIO2I10.73

26、2.182J92-12112OO91IJ-291.06Ia2OIO-I2-IO3)10-2-260.090.4404?9-I29KK9120592412402010-12-102)IO-2OWOM0l2009-12-92OW-6-120601000.982OIO-I2-IO2010-5-80.070.460432009-12-920096150391.261.26201012-102010-5-80.41.5515220W12.020094-161B2I.?1.782010-12-102010X8090.862IW-12-1I2O9-161272652472OII2-IO2D10390.391

27、51ISl2009-12-122009-6-161.443.413.422OIO-I2-IO20I0-M00.31.50151数据来源欧洲气候交身所ECX附表5,1含波动率计算结果续表执行日签约日隐含波动率CER期权理论价格实际价格执行日签约日隐含波动率CER期权理论价格实际价格2009-12-102009-6-301.051.971.992010-12-102IO5-I10.38IJ61.362009121120096301.322.912.922O!OI2-I220103120.701.67J.68200912I220096%1.493.703.72201042.1020103-170.7

28、53.4S0.8720(19-12-92009-7-10.590.730.73刈0*3020IO-I80.350X6OM2009-12-102O(K7-I1.(M2.012.022010-12-1020103230.360.590.58200912-112009-7-11.302.902.90201012-102OIO-S-240.200.670.68200912.122O(9?.I1.463643.66201042-1020103-240.41.011X112OCI9-12-92009-7-20.610.760.742OKH2-1O20103250.350330.31编号:时间：2021年X月X日书山有路勤为径，学海无涯苦作舟页码：第47页共53页2009-12-92009-7150.591.181.192010IMO20103260.200.770.752009-12-92iXJ9-72l0.59IJS1.17201042-1020103-300.351.121.112009-12-92iXJ9-7220.591.141.12201042-1020103