Carbon Emission Rights Pricing In China

Reducing greenhouse gas emissions and actively responding to climate change have become a global consensus.Countries in the world are actively seeking corresponding countermeasures to achieve coordinated and sustainable economic development and environmental protection.Carbon emission trading is a kind of market-based policy tool in reducing emission which is adopted and implemented by many countries.China has started to operate the pilot carbon market in 2013.Based on the guidelines of 2030 "carbon peak" and2060 "carbon neutral",the national carbon market was officially launched in July 2021,opening a new chapter for China to build a green and low-carbon circular development economic system.In the process of developing and improving China’s carbon market,a reasonable price and its operating mechanism are indispensable,and the pricing of corresponding derivatives also highlights its importance.It can lay the foundation for the design and improvement of derivatives in China’s carbon market that we carry out research on the pricing of carbon options in the context of the initial establishment of the national carbon market,explore the applicability of traditional pricing models to the pricing of financial instruments related to the carbon market,and make model improvements based on actual conditions.From the perspective of promoting the complete development of China’s carbon market,this paper analyzes and summarizes the current carbon market pricing status,and points out the necessity of developing options and other derivatives;and uses descriptive statistics based on the actual operating data of 7 pilot carbon markets to analyze its data characteristics and construct corresponding American put options for price simulation.This paper uses Monte Carlo simulation method for simulation analysis under the framework of traditional BS option pricing model and the framework of improved BS option pricing model.It is pointed out that randomizing volatility in option pricing can better fit the actual operating conditions.We also comprehensively compares and analyzes the pricing results of 7 pilot carbon markets,and the results show that the Guangdong carbon market is highly sensitive.It is expected to provide reference for the coordination and integration of the national carbon market price operation mechanism and standardizing the national carbon market trading system.