Assessment Of Carbon Emission Rights Based On B-S Model

With the intensification of human economic activity,greenhouse gas emission causes greenhouse effect,which seriously threatens the living environment of mankind.Countries around the world in terms of environmental protection,greenhouse gas emissions carried out a lot of action,China as a major greenhouse gas emissions,are also put forward many improving the environment of policies,among them,the carbon emissions trading on reducing greenhouse gas emissions more significant results.Carbon trading has arisen in Europe and the United States,as environmental problems have been taken seriously by many countries.China has also set up carbon trading trials in seven locations,including Shanghai and Beijing,and achieved certain results.To the carbon market towards positive and healthy direction,to accurately assess the value of carbon emission rights is particularly important,carbon emissions of traditional evaluation methods mainly include the market method,cost method and income method,due to China just to establish a national carbon trading system,and does not form a fair and voluntary carbon market environment,rules and regulations are not completed,using the traditional evaluation method cannot accurately assess the value of carbon emissions.Therefore,this paper proposes to use the B-S model to evaluate carbon emission rights and to introduce the GARCH model to modify the B-S model.In this paper,the B-S model is selected to evaluate the advantages and disadvantages and applicability of common assessment methods for emission control and carbon emission rights.Based on carbon emissions earnings volatility characteristics of the floating,points out the historical volatility of B-S model can not fully reflect the real condition of the carbon market,therefore,introduction of earnings volatility GARCH model fitting,bringing volatility to B-S model,to improve the accuracy of the model.First of all,this paper puts forward the urgency of studying the value of carbon emission right.Then,the research results of Chinese and foreign scholars are summarized,from the research on the nature of carbon emission rights,to the study of allocation methods and influencing factors,to the evaluation method and to make a summary.Third,put forward the relevant theories about carbon emissions,and put forward data,according to China’s carbon network of the seven pilot emissions trading in China operation is analyzed,and put forward the evaluationmethod of related theory,compared to traditional evaluation methods,the proposed evaluate the feasibility of using B-S model.Fourthly,empirical research uses the GARCH model to simulate the yield volatility,and brings the volatility into the B-S model to obtain the estimated value of the carbon emission right.Finally,summarize the above contents and make Suggestions.After the research,this paper argues that compared with the traditional evaluation method,the B-S model has a rigorous derivation process,and the hypothesis condition is not affected by the market environment,and the evaluation result is more scientific and accurate.The GARCH model is the best model for modeling the volatility of financial time series data,and the two are combined to improve the accuracy of the model and verify it through empirical tests.The research results have enriched the theoretical system of carbon emission assessment and provided some ideas for later research.