Research On Pricing Of Enterprise Carbon Emission Right Pledge Financing

Since the signing of the United Nations Framework Convention on climate change and the Kyoto Protocol,human society has paid more attention to gas.With the increasing attention to climate change,carbon finance has also been widely discussed.During this period,China has conducted a large number of international carbon emission trading with "certified emission reductions".In December 2017,the construction of the national carbon emission trading market was officially started.At present,China’s carbon emission right pledge financing business has just started,there are some problems in pledge financing pricing,transaction prices are differentiated,a market-oriented pricing mechanism has not been formed,and a standardized financing process has not been formed.Therefore,it is urgent to build a unified carbon emission right price prediction model.The carbon emission pricing model constructed in this paper will be based on the carbon trading data in China,focusing on the part of option pricing.Firstly,we analyze the price characteristics of China’s carbon emission rights,calculate the yield series,and logarithmicize the yield series.The logarithmic data conforms to the normal distribution,which shows that the change process of China’s carbon emission rights price follows the geometric Brownian motion,and the Black Scholes option pricing model is more suitable for carbon option pricing.Next,it analyzes the market method,income method and option pricing method,and tries to build the most suitable GARCH model according to the test results of yield series,and predicts the logarithmic return volatility of carbon emission rights according to the constructed model;Then,all parameters are substituted into the option pricing model to solve the value of carbon option.The value of carbon option plus the execution price is the price of carbon emission right.Finally,the model is verified with actual data.