不确定金融市场中碳交换的定价和估值

IF 4.8 2区 计算机科学 Q1 COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE
Zhe Liu, Yanbin Li
{"title":"不确定金融市场中碳交换的定价和估值","authors":"Zhe Liu, Yanbin Li","doi":"10.1007/s10700-024-09423-z","DOIUrl":null,"url":null,"abstract":"<p>It has become a consensus in the international community to actively address global climate change issues and strive to achieve carbon reduction. For this purpose, carbon finance market plays a significant role in reducing carbon emissions by providing financial mechanisms to support and incentivize emission reduction projects. As a type of carbon finance derivative, carbon swap is an agreement between two parties whereby a floating price is exchange for a fixed price for carbon emission right over a specified period. How to price carbon swap before signing, i.e., determine the fixed price in the swap contract, and valuate carbon swap during the life of the swap contract are key issues. Noting the fact that the underlying asset of carbon swap is carbon price, the primary task is to model carbon price reasonably. Due to the inherent challenges and uncertainties associated with pricing carbon, frequency stability is often not guaranteed, resulting in the failure of probability based methods. Thus, this paper characterizes the carbon price using uncertain differential equation under the framework of uncertainty theory, and derives swap pricing and valuation formulas. Estimations for unknown parameters in the proposed model are given. Finally, with carbon spot price in European Energy Exchange, real data analyses are documented to illustrate our proposed methods in details.</p>","PeriodicalId":55131,"journal":{"name":"Fuzzy Optimization and Decision Making","volume":null,"pages":null},"PeriodicalIF":4.8000,"publicationDate":"2024-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Pricing and valuation of carbon swap in uncertain finance market\",\"authors\":\"Zhe Liu, Yanbin Li\",\"doi\":\"10.1007/s10700-024-09423-z\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>It has become a consensus in the international community to actively address global climate change issues and strive to achieve carbon reduction. For this purpose, carbon finance market plays a significant role in reducing carbon emissions by providing financial mechanisms to support and incentivize emission reduction projects. As a type of carbon finance derivative, carbon swap is an agreement between two parties whereby a floating price is exchange for a fixed price for carbon emission right over a specified period. How to price carbon swap before signing, i.e., determine the fixed price in the swap contract, and valuate carbon swap during the life of the swap contract are key issues. Noting the fact that the underlying asset of carbon swap is carbon price, the primary task is to model carbon price reasonably. Due to the inherent challenges and uncertainties associated with pricing carbon, frequency stability is often not guaranteed, resulting in the failure of probability based methods. Thus, this paper characterizes the carbon price using uncertain differential equation under the framework of uncertainty theory, and derives swap pricing and valuation formulas. Estimations for unknown parameters in the proposed model are given. Finally, with carbon spot price in European Energy Exchange, real data analyses are documented to illustrate our proposed methods in details.</p>\",\"PeriodicalId\":55131,\"journal\":{\"name\":\"Fuzzy Optimization and Decision Making\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.8000,\"publicationDate\":\"2024-06-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Fuzzy Optimization and Decision Making\",\"FirstCategoryId\":\"94\",\"ListUrlMain\":\"https://doi.org/10.1007/s10700-024-09423-z\",\"RegionNum\":2,\"RegionCategory\":\"计算机科学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Fuzzy Optimization and Decision Making","FirstCategoryId":"94","ListUrlMain":"https://doi.org/10.1007/s10700-024-09423-z","RegionNum":2,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE","Score":null,"Total":0}
引用次数: 0

摘要

积极应对全球气候变化问题,努力实现碳减排已成为国际社会的共识。为此,碳金融市场通过提供金融机制支持和激励减排项目,在减少碳排放方面发挥着重要作用。作为碳金融衍生品的一种,碳互换是双方以浮动价格换取一定时期内碳排放权固定价格的协议。如何在签约前为碳互换定价,即确定互换合同中的固定价格,以及在互换合同有效期内对碳互换进行估值是关键问题。由于碳交换的基础资产是碳价格,因此首要任务是建立合理的碳价格模型。由于碳定价本身的挑战和不确定性,频率稳定性往往无法保证,导致基于概率的方法失效。因此,本文在不确定性理论框架下,利用不确定微分方程表征碳价格,并推导出互换定价和估值公式。本文还给出了模型中未知参数的估计值。最后,通过对欧洲能源交易所碳现货价格的真实数据分析,详细说明了我们提出的方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Pricing and valuation of carbon swap in uncertain finance market

Pricing and valuation of carbon swap in uncertain finance market

It has become a consensus in the international community to actively address global climate change issues and strive to achieve carbon reduction. For this purpose, carbon finance market plays a significant role in reducing carbon emissions by providing financial mechanisms to support and incentivize emission reduction projects. As a type of carbon finance derivative, carbon swap is an agreement between two parties whereby a floating price is exchange for a fixed price for carbon emission right over a specified period. How to price carbon swap before signing, i.e., determine the fixed price in the swap contract, and valuate carbon swap during the life of the swap contract are key issues. Noting the fact that the underlying asset of carbon swap is carbon price, the primary task is to model carbon price reasonably. Due to the inherent challenges and uncertainties associated with pricing carbon, frequency stability is often not guaranteed, resulting in the failure of probability based methods. Thus, this paper characterizes the carbon price using uncertain differential equation under the framework of uncertainty theory, and derives swap pricing and valuation formulas. Estimations for unknown parameters in the proposed model are given. Finally, with carbon spot price in European Energy Exchange, real data analyses are documented to illustrate our proposed methods in details.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Fuzzy Optimization and Decision Making
Fuzzy Optimization and Decision Making 工程技术-计算机:人工智能
CiteScore
11.50
自引率
10.60%
发文量
27
审稿时长
6 months
期刊介绍: The key objective of Fuzzy Optimization and Decision Making is to promote research and the development of fuzzy technology and soft-computing methodologies to enhance our ability to address complicated optimization and decision making problems involving non-probabilitic uncertainty. The journal will cover all aspects of employing fuzzy technologies to see optimal solutions and assist in making the best possible decisions. It will provide a global forum for advancing the state-of-the-art theory and practice of fuzzy optimization and decision making in the presence of uncertainty. Any theoretical, empirical, and experimental work related to fuzzy modeling and associated mathematics, solution methods, and systems is welcome. The goal is to help foster the understanding, development, and practice of fuzzy technologies for solving economic, engineering, management, and societal problems. The journal will provide a forum for authors and readers in the fields of business, economics, engineering, mathematics, management science, operations research, and systems.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信