排污许可价格简化模型的实证表现

IF 0.7 4区经济学 Q4 BUSINESS, FINANCE

Review of Derivatives Research Pub Date : 2016-06-02 DOI:10.2139/ssrn.2297121

Steffen Hitzemann, M. Uhrig-Homburg

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引用次数: 14

摘要

环境市场中排放许可的价值源于潜在的限额与交易制度的特定设计特征。在本文中，我们评估了一个以简化形式考虑这些特征的排放许可价格动态模型框架。基于世界上最大的环境市场欧盟排放交易系统的许可期货和期权数据，我们证明了代表系统设计的模型变量最准确地提供了与历史期货价格的最佳拟合，并实现了最佳的期权定价绩效。我们的研究结果表明，限额与交易制度的具体设计直接转化为排放许可价格的动态特性，并且为环境市场量身定制的模型是相关定价和风险管理决策的最佳选择。

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Empirical performance of reduced-form models for emission permit prices

The value of emission permits in environmental markets derives from the particular design features of the underlying cap-and-trade system. In this paper, we evaluate a model framework for the price dynamics of emission permits which accounts for these features in a reduced-form way. Based on permit futures and option data from the European Union Emissions Trading System, the world’s largest environmental market, we show that model variants which represent the design of the system most accurately provide the best fit to historical futures prices and achieve the best option pricing performance. Our results suggest that the specific design of cap-and-trade systems directly translates to the dynamic properties of emission permit prices, and that models tailored to environmental markets are the best choice for related pricing and risk management decisions.

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来源期刊

Review of Derivatives Research Multiple-

CiteScore

1.40

自引率

0.00%

发文量

期刊介绍： The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporations to use sophisticated quantitative techniques to take full advantage of the spectrum of these new financial instruments. Academic research has significantly contributed to our understanding of derivative assets and markets. The growth of derivative asset markets has been accompanied by a commensurate growth in the volume of scientific research. The Review of Derivatives Research provides an international forum for researchers involved in the general areas of derivative assets. The Review publishes high-quality articles dealing with the pricing and hedging of derivative assets on any underlying asset (commodity, interest rate, currency, equity, real estate, traded or non-traded, etc.). Specific topics include but are not limited to: econometric analyses of derivative markets (efficiency, anomalies, performance, etc.) analysis of swap markets market microstructure and volatility issues regulatory and taxation issues credit risk new areas of applications such as corporate finance (capital budgeting, debt innovations), international trade (tariffs and quotas), banking and insurance (embedded options, asset-liability management) risk-sharing issues and the design of optimal derivative securities risk management, management and control valuation and analysis of the options embedded in capital projects valuation and hedging of exotic options new areas for further development (i.e. natural resources, environmental economics. The Review has a double-blind refereeing process. In contrast to the delays in the decision making and publication processes of many current journals, the Review will provide authors with an initial decision within nine weeks of receipt of the manuscript and a goal of publication within six months after acceptance. Finally, a section of the journal is available for rapid publication on `hot'' issues in the market, small technical pieces, and timely essays related to pending legislation and policy. Officially cited as: Rev Deriv Res