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    Title: 碳排放權衍生性商品訂價與實證分析：均數復歸、隨機波動度與跳躍風險
    Derivative Pricing and Empirical Analysis in CO2 Emission Allowance: Mean Reversion, Stochastic Volatility, and Jump Risks
    Authors: 陳亭甫
    Chen, Ting Fu
    Contributors: 林士貴
    Lin, Shih Kuei
    陳亭甫
    Chen, Ting Fu
    Keywords: 碳排放權
    均數復歸
    隨機波動度
    跳躍風險
    共同估計
    Emission Allowance
    Mean-Reversion
    Stochastic Volatility
    Jump Risks
    Joint Estimation
    Date: 2016
    Issue Date: 2016-11-14 16:10:06 (UTC+8)
    Abstract: 溫室氣體的減量已成為全球各國必須共同面對的課題，歐盟委員會為幫助其成員國達成減排目標，於 2005 年成立歐盟碳排放交易體系，使得碳排放權成為可以具體交易的商品。為了更加了解碳排放市場特性以增進風險管理績效，本研究可分為以下各個面向：第一，在財務定價模型方面，本研究同時採用過去文獻針對商品資產所使用的隨機波動度、均數復歸、價格跳躍與波動度跳躍特性，並發展粒子濾波方法與最大期望演算法作為模型參數估計方法。第二，透過Esscher轉換推導風險中立下的價格動態，並藉由傅利葉轉換的評價方法推導出各個模型所對應的期貨選擇權評價公式。第三，延續本文採用的碳權價格動態模型下，以歐洲碳排放許可憑證(EUA)為標的商品，進行歐盟碳排放交易體系在第三階段的市場實證研究。本文實證研究結果發現，均數復歸、隨機波動度以及價格與波動度相關跳躍模型，確實存在於EUA市場中，無論在現貨市場或選擇權市場都是重要的價格因素。分析EUA市場特性時，應採用同時考量現貨市場與衍生性商品市場價格的共同估計方法，才能夠完整的反映出EUA市場的價格特性。
    Reducing the emission of greenhouse gases has become a major task for countries all over the world. To help the member states achieve the reduction target, EU emissions trading system (EU ETS) is constructed by European Commission, so that the emission allowance becomes a tradable commodity. To investigate the features of the price dynamics in the carbon market and to enhance the performance of risk management, this study is constructed as follows: First, the stylized facts including mean-reversion, stochastic volatility, price jumps, and volatility jumps, which are documented in the literature on modeling dynamics of commodities, are employed to construct the pricing model. The particle filter procedure and the expectation-maximization algorithm are developed to estimate the proposed models. Second, the pricing models under the risk-neutral measure are obtained through the Esscher transform, and the analytic pricing formula for the option on futures is derived by means of Fourier transform. Third, the EU ETS in Phase III is investigated through the price of EU allowances (EUA), which is the underlying of the EU ETS. The empirical findings show the existence of the mean-reversion, stochastic volatility, and correlated jumps risks in the EUA price dynamics, and these stylized facts are crucial factors in fitting the EUA price dynamics in both spot market and option market. When analyzing the features of the EUA market, the joint estimation, which involves the information contained in both spot and derivatives markets, should be adopted to obtain the comprehensive stylized facts of the EUA price dynamics.
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    Description: 博士
    國立政治大學
    金融學系
    99352504
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0993525043
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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