Research On The Application Of B-S Model In Carbon Emission Option Pricing

After China made peak carbon dioxide emissions and carbon neutrality a strategic decision,China’s green economy entered a stage of rapid development.Among them,on July 16 th,2021,the national carbon emission trading market officially started trading,which marked that carbon emissions became commodities that could be traded.Although carbon emission right is one of the important means of energy saving and emission reduction in the world,the trading of carbon emission right will increase the operating cost of enterprises,and the price change of carbon emission right will also increase the market risk of enterprises,and the production activities of emission reduction enterprises will be restrained,which may have a certain impact on economic development.Combined with the government’s policy of financial assistance to green economy development in 2022 and the development status of foreign carbon emission rights system,this paper attempts to design option products based on the national carbon emission rights spot assets,so as to reduce the market risk of enterprises and force enterprises to carry out green technology reform.This paper mainly uses literatures research and empirical research.By reading the domestic and foreign literatures on carbon emission rights and options pricing,the feasibility of carbon emission rights options and its significance to the development of green economy are determined.At the same time,in the empirical part,based on the BS model,carbon emission right option products are designed,and the EGARCH model is used to estimate the volatility of carbon emission right.In the empirical study,it is found that the trading volume of carbon emission rights is greatly influenced by the policy,and the trading volume and price are gradually increasing,which can ensure the activity of carbon emission rights derivatives market.This paper describes and counts the volatility of carbon emission rights,and finds that the price of carbon emission rights fluctuates greatly and the risk level is high.Carbon emission rights can well fit EGARCH model,and there is leverage effect.After the first-order difference of carbon emission right price,it passed the stationarity test,which accords with the distribution of peak and thick tail.After analyzing the designed option products and the price trend chart of carbon emission rights,it is found that there is a certain price transmission mechanism between carbon emission rights options and carbon emission rights.When the price of carbon emission rights fluctuates,carbon emission rights options also fluctuate,which proves that carbon emission rights options can better hedge the market risk of carbon emission rights.Combined with relevant policies and empirical research results,this paper draws three conclusions: First,there is a certain price transmission mechanism between carbon emission rights options and carbon emission rights,which can better hedge market risks.Secondly,through analysis,this paper holds that spot carbon emission rights are more suitable as the underlying assets of carbon emission rights options.Finally,the volatility of carbon emission rights has leverage effect,and the influence of environment on carbon emission rights market is lasting and predictable.