Empirical Analysis Of Carbon Emission Option And Convenience Yields Based On EU-ETS Market

Since the start of 2005,the European Union Emission Trading Scheme(EU-ETS)has become the world's largest and most active carbon emissions trading system,it also provides experience and ideas for the establishment of carbon emissions trading system in C hina,it is valuable for reference and inspiration.Its development has gone through 3 stages,trial and error phase(2005-2007),K yoto stage(2008-2012)and post K yoto era(2012-2020),after the 3 phase of development,the number and size of the tra nsactions in the trading system has increased substantially.However,the research on the pricing method of carbon emission derivatives corresponding to the trading scale is relatively scarce and backward,so this text makes a study on the lack of forward option pricing,especially a series of exploration for the new pricing problem in the new post Kyoto era.From two aspects of theoretical and empirical,using the EUA transaction data of the European Climate Exchange(ECX)and the European Energy Exchange(EE X)to verify the carbon emissions trading market participants whether can make convenience yields by holding EUA spots.Specifically,we use the holding cost theory to calculate the convenience yields according to the transaction price,and combined with risk premium model from theoretical aspect to prove that the convenience yield is that market participants gain who hold sopts,futures contract holders can not realize the benefits,these benefits are additional risk premium price due to the fluctuations arising from the scarcity of goods;according to the characteristics of the option of the convenience income,we make some assumption conjectures,and verify the hypothesis by empirical method to prove the validity of the conjecture,the experimental results also showed that the option characteristics of the convenience yields is of great significance to the market participants to implement flexible trading strategy;in order to predict the future trend of the futures price,we use the modified Margrabe Optio n Pricing Valuation Model according to the exchange option characteristics of convenience yields to price the futures,it can be seen from the results:the value of the exchange option are very close to convenience yields,so as to explain the correctness of the exchange option pricing,when traders using flexible transaction method generate convenience yields from the interconversion between futures and spots,according to the pricing model is convenient to calculate the estimated value,so as to predict the future carbon futures price on the basis of theory,taking the corresponding trading strategy to buy spot or futures contracts.And analyzes the problems existing in the pricing mechanism of EU-ETS Market,so we can learn from each other in the establishment of our carbon emissions trading system.The significance of this study is to use scientific methods to make market participants even in the spot and futures prices of the frequent change of the market trend,also can grasp the trend of the price of carbon emission financial products and their convenience yields,it is good for traders to make appropriate trading strategies according to their changing trends,to achieve carbon emissions financial products arbitrage income,to avoid market risk,inhibiting the occurrence of the phenomenon of abnormal price changes in the market: "slump" or "inflation",to make the sustainable development of carbon financial market orderly and reasonably,improve the pricing efficiency,providing a solid foundation for investors to make rational investment strategy,and also be used as a reference for China to establish a well-developed carbon emissions trading system.