气候变化领域集成服务门户(CCPortal): Valuation of carbon emission allowance options under an open trading phase

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DOI	10.1016/j.eneco.2024.107351
	Valuation of carbon emission allowance options under an open trading phase
	Fang, Mingyu; Tan, Ken Seng; Wirjanto, Tony S.
发表日期	2024
ISSN	0140-9883
EISSN	1873-6181
起始页码	131
卷号	131
英文摘要	This paper presents valuation models of emission allowance options under an emission trading scheme, operating in an open trading phase, where unused allowances are banked to subsequent phases without any limit. Empirical studies are carried out to show that allowance option prices exhibit similar volatility smiles to those of the stock market. Three reduced-form econometrics models, namely a Lognormal allowance price model, a Skewness-Kurtosis-Modified Lognormal allowance price model, and a Mixture Lognormal allowance price model are introduced, with each being accorded with a rich interpretation of its own. Numerical illustration of the models is performed through calibration to the European-Union Emission-Trading-Scheme's allowance futures option prices collected for EU ETS Phase 3 and Phase 4 respectively, where statistical fitness of the models is assessed comparatively within each sample and across the two samples collected to ensure robustness of the conclusions.
英文关键词	Climate change; Carbon emission allowances; Emission derivatives; Carbon pricing; Sustainable finance
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:001180591800001
来源期刊	ENERGY ECONOMICS
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/291845
作者单位	Nanyang Technological University; University of Waterloo; University of Waterloo; University of Waterloo
推荐引用方式 GB/T 7714	Fang, Mingyu,Tan, Ken Seng,Wirjanto, Tony S.. Valuation of carbon emission allowance options under an open trading phase[J],2024,131.
APA	Fang, Mingyu,Tan, Ken Seng,&Wirjanto, Tony S..(2024).Valuation of carbon emission allowance options under an open trading phase.ENERGY ECONOMICS,131.
MLA	Fang, Mingyu,et al."Valuation of carbon emission allowance options under an open trading phase".ENERGY ECONOMICS 131(2024).