The Research About Option Price Difference Of The Carbon Emissions Rights Based On The Tiiqe-varying Volatility

Since the Industrial Revolution, human has made a large emissions of greenhouse gases into the atmosphere. Due to the incalculable losses to the global ecology economy and sociology, since the1990s, the difficult climate negotiations has started in the countries all over the world,《United Nations Framework Convention on Climate Change》、《Kyoto Protocol》 has been get through Successively. Especially the ((Kyoto Protocol》, it makes the carbon emissions rights valuable, and spawned a carbon emissions trading market. At present,the European Union has take the first step to establish the developed carbon emissions trading system, but in China, there is no mandatory obligations in emission reduction, just help the developed countries to reduce emissions through the Clean Development Mechanism at a relatively low cost, so we are still in the end of the value chain of carbon emissions, and the carbon emissions trading market is just beginning, there is a larger gap between china and the European Union.Therefore, the author tries to research to give the recommendations on the development of carbon emissions trading market in china,to narrow the gap between China and developed countries, so china can have a certain discourse right on carbon pricing in the future. Option pricing correctly is also crucial to the efficiency of carbon emissions trading market and its stability and healthy development, and also has strategic significance to China to achieve the mature development of derivative market.This paper, after the introductions of the related theory, the fluctuation mechanism of the introduction of GARCH model family and the carbon emissions trading status, Takes EUA08-12as the underlying assets, analyses the price trending from April12,2010to April12,2012,makes the ADF and correlation test to the samples of it’s time series of logarithmic return, on basis of get through the test, modeled the volatility of logarithm yield with GARCH model family, chooses the most suitable model to describe the time series through the AIC:TARCH(1,1) model, and take the updating volatility by this model into the Black Scholes option pricing formula, prices the biennial European call options which take EUA08-12as the underlying assets, In addition, take it into the comparative analysis with the pricing results of the traditional Black Scholes option pricing model,the other GARCH model family and the actual price,the results show that the pricing results with GARCH model group were not closest to the actual price, the asymmetry existed in the volatility of EUA08-12, EUA08-12market was not Efficient; Finally,combining the above research, determines the strategy on developing carbon emissions trading market, and gives the reasonable suggestions.