Spot And Futures Price Research Of Carbon Dioxide Emission Allowance

Following the carbon market becomes more and more popular, China is improving its influence. The new energy investment is accelerating, more enterprises joint in the market. In this article, we offer an analysis framework for the emission right, and a tool of risk control.The first part, we start from the theory and empirical analysis. The results show that: 1) The volatility is the function of time and price; 2) We can not use an uniform model to simulate the process. These have an intimate relationship with the trading mechanism, under the ETS, the emission right price is totally different with the stock price.The direct question is: how about the derivatives price? By research, we find that the futures price is different according to the different maturity. If the maturity and the EUA is in the same phase, we can simply use the cost-of-carry method to value it; If they are different, we use a two factors model to price the futures. We can not reach the no arbitrage equilibrium, so the error is a little big.At last we point out some weak points of the models, and the next step of the research.