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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/79628

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/79628

Title:	Detecting and modelling the jump risk of CO2 emission allowances and their impact on the valuation of option on futures contracts
Authors:	Yang, Sharon S.;Huang, Jr-Wei;Chang, Chuang-Chang 楊曉文
Contributors:	風險與保險研究中心
Keywords:	Emission allowances;Dynamic jump model;Jump test;Conditional Esscher transform
Date:	2015
Issue Date:	2015-12-10 16:16:28 (UTC+8)
Abstract:	Modelling CO2 emission allowance prices is important for pricing CO2 emission allowance linked assets in the emissions trading scheme (ETS). Some statistical properties of CO2 emission allowance prices have been discovered in the literature ignoring price jumps. By employing real data from the ETS, this research first detects the jump risk using a jump test and then verifies jump effects in modelling CO2 emission allowance prices by comparing the in-sample and out-of-sample model performance. We suggest a model which can capture the statistical properties of autocorrelation, volatility clustering and jump effects is more appropriate for modelling CO2 emission allowance prices. We establish a general framework for pricing CO2 emission allowance options on futures contracts with these properties and find that the jump risk significantly affects the value of the CO2 emission allowance option on futures contracts. More importantly, we demonstrate that the dynamic jump ARMA–GARCH model can provide more accurate valuations of the CO2 emission allowance options on futures than other models in terms of pricing error.
Relation:	Quantitative Finance
Data Type:	article
DOI link:	http://dx.doi.org/10.1080/14697688.2015.1059953
DOI:	10.1080/14697688.2015.1059953
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

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