| Chinese President Xi Jinping announced Chinese "carbon peak" and "carbon neutral" goals in his speech at the general debate of the United Nations General Assembly,marking that green and low-carbon development has become one of Chinese national strategies.As a special commodity,the carbon emission right can be traded in the market.It is a valuable and specific asset for enterprises in a low-carbon economy.It can transfer and trade excess the carbon emission right quota within a certain period to those companies who need carbon emission rights.Therefore,in order to avoid administrative penalties,companies with excessive carbon emissions often need to increase the cost to purchase the carbon emission allowance from other companies,which theoretically can force companies to control their overall carbon emissions and keep them within a controllable range.At the same time,the carbon emission right option,as a real option,can effectively measure and manage market volatility risks,and help investors manage returns and risks.We conduct a theoretical analysis of carbon emission right options,and empirically find that the improved Black-Scholes option pricing model can better predict the trend of the carbon emission right price in China,broaden the selection range of carbon financial products,and help enterprise managing carbon assets and hedge with carbon financial products.Therefore,this research focuses on the national strategy of green and low-carbon development and focuses on the hot issue of carbon emission right option pricing,which has strong theoretical value and practical significance.On the basis of previous research,we use the theory and method of the real option and the improved Black-Scholes option pricing model to broaden the field and ideas of theoretical research on carbon emission rights options.The structural equation model is used to determine the factors that affect the price of carbon emission rights,such as temperature and industrial added value.With the help of Microsoft Visual Studio C++,a geometric Brownian motion model with mechanism transformation is established to simulate the dynamics of the carbon emission right price.We design a backward recursive algorithm for the carbon emission right option pricing calculation that does not depend on the state transition of Markov chain.On the one hand,the mechanism conversion model is introduced into carbon emission rights option pricing,and on the other hand,it provides a more efficient calculation of the mechanism conversion model algorithm.After determining the main influencing factors of the carbon emission right,the carbon emission right option pricing model is constructed,and the algorithm in this paper is compared with other existing algorithms to verify the accuracy of the algorithm in this paper.This paper is based on the European-style carbon emission right option pricing model of the mechanism conversion model,the numerical simulation of the recursive algorithm,and the reverse recursive algorithm to solve the model to realize the numerical value of the carbon emission right option pricing.In response to Chinese "dual carbon" goals and the green and high-quality development requirements of enterprises,an empirical analysis is conducted on the actual data of four cities that have established seven carbon emission trading pilots.Finally,we take J thermal power plant and N compony as examples,and combine the improved Black-Scholes option pricing model to estimate the range of the bid and ask prices of the two parties,and use the carbon emission right call option pricing method acceptable to the sellers.The result of the calculation is the fair value,which is much less than the buyer’s expected net profit for the call option.We propose that enterprises reasonably use the carbon emission right option pricing model improved in this paper,which is helpful for both parties to break the zerosum game situation and achieve a win-win situation.The innovations of the paper are as follows:(1)On the basis of previous research,we study the key scientific issues of carbon emission right option pricing around "problem formulation-model establishment-option pricing-guided transaction".Using the theory and method of real options and the improved Black-Scholes option pricing model,the research field and ideas of carbon emission rights option theory and method are broadened.Based on the fact that Chinese carbon emission right market has been established recently and the data is incomplete,we use the Black-Scholes model to analyze the pricing of the carbon emission right option in China,and propose to adopt the European option pricing method.Trading,estimating trading income under different circumstances,and providing digital support for the carbon option trading and investment in related projects.(2)We adopt the geometric Brownian motion model with mechanism transformation,and improve the Black-Scholes model according to Chinese national conditions and market characteristics.The traditional Black-Scholes option pricing model is theoretically feasible due to many constraints,but it has defects in the real market.The improved Black-Scholes option pricing model takes into account the main influencing factors such as industrial added value,temperature and carbon adjustment intensity,and is reflected by the volatility.It is an improvement on the original model and is more in line with market conditions.In the projectbased case study,an improved method is used to conduct a detailed analysis of every parameter involved in the option,and to more accurately describe the price dynamics of the carbon emission right.(3)We use the improved Black-Scholes model to dynamically simulate the four pilot trading markets of carbon emission rights in China,and propose that the rational use of carbon emission right option can help break the zero-sum game competition for carbon emission right among enterprises.If companies can reasonably use carbon emission right option,they can achieve a win-win situation.Combined with the data of China’s pilot trading market,dynamic simulation and analysis are carried out,which confirms the applicability of the improved option pricing model in this paper,which helps to ensure the price prediction of the carbon emission right by enterprises.Because the price of carbon emission right fluctuates widely,and there is no good price forecasting method for the time being,companies with excessive carbon emission often need to spend more costs for carbon emission,while companies that hold too much bullish carbon emission right do not know The rising inflection point of carbon emission rights price will also cause opportunity cost due to excessive holding.The carbon emission right option pricing model proposed in this paper is helpful for companies to hedge and hedge their carbon emission risks.After analyzing the JB thermal power plant and the NG compony,we propose two contracts that can reach a bullish carbon emission right option.Under this contract,the JB thermal power plant will make a profit,and the NG compony can also ask to become a profit participant,so as to achieve a win-win deal,breaking the zero-sum game trap.In view of the current situation of imperfect carbon emission rights market and substantial loss of carbon emission rights in my country,we design the OTC option trading and pricing,and find that if the transaction method and the pricing model proposed in this paper is adopted,the loss of the carbon emission right might be greatly reduced.Chinese economic growth still has an extensive growth mode.In response to this,China has put forward the "dual carbon" goal and green and high-quality development requirements,and established a national carbon emission trading market.The improved BLACK-SCHOLES model can more accurately and effectively predict the fluctuation trend of the price of carbon emission right.Enterprises can use the improved BLACK-SCHOLES model to predict the price of carbon emission rights,so as to promote a win-win situation for both parties.Carbon emission poses a great threat to the economic development of human society.As the main body of market economic activities,enterprises should actively undertake corresponding responsibilities for low-carbon development,while political subjects should establish more perfect regulations,build more effective carbon emission right market and option trading market.We use stochastic analysis and stochastic calculation under the mechanism conversion model,and realizes the comparison and innovation of multiple algorithms,which broadens the theoretical research field of carbon emission rights option pricing,and provides new ideas for more general financial derivatives option pricing. |
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