Carbon Future Pricing Model Study In Post-kyoto Era Of EU-ets

Compared with the growing speed of number and size of the global carbon trading market of financial derivatives, pricing of related products is relatively lagging behind. Especially the study on the carbon futures pricing problem of Post Kyoto Protocol Era is a blank spot, so here do some supplementary exploration in this respect.By combination of theoretical research and empirical research, here studies the following contents: the Carbon Market general development and the related concept of pricing mechanism; Carbon pricing theory; establish Carbon Futures Pricing Series: the Cost of Carry Future Pricing Model with the Convenience Yield, the Convenience Yield Exchange Option Valuation Model and GBMP and its derivative Model groups; estimate parameters of 5 kinds of EUA spot pricing models by GMM, and the empirical pricing analysis on EUA futures data.The creativity is in the modeling part it has established a complete system of futures pricing model. Firstly, consider the jump characteristics of the first stage of the EUETS of the carbon spot price, bring into the MRSRP MRLP, CEV, GBPMJ Model based on the basic model of the GBMP to determine whether the distribution of carbon price is in accordance with the conditions of the Option Pricing Model. Secondly, to solve the difficulties of the convenience yield estimation problem in the futures pricing, according to the exchange option characteristics of Convenience Yield,using Exchange Option Pricing Model for its valuation. The last is taken the estimated values into the Cost of Carrying Futures Pricing Model and it is found that in the Post Era data fitting precision is obviously improved, therefore realizing its application in futures price in current period.The significance of the study in the aspect of theory lies in: verified the spot price is subject to and Brown motion to avoid the characteristics of data does not meet the premise of using the Option Value Model,which opened a new perspective for the application area the Exchange Option Value Model. In practical terms: to "correct" the extreme market prices, and promote the smooth and orderly operation of the carbon trading market, and improve the pricing efficiency, reduce the cost of achieving a low carbon emission reduction targets. Help Chinese investors avoid trading risks and provide useful inspiration and help improve the pricing mechanism of carbon market in China, and provide a powerful guarantee for the competition for pricing right in the international carbon trading.