1. NCCU Academic Hub
  2. 學術產出
  3. College of Commerce
  4. Periodical Articles
  5. Item

學術產出-Periodical Articles

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

題名 Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium
作者 Li, Chang-Yi;Chen, Son-Nan;Lin, Shih-Kuei
林士貴
貢獻者 金融學系
關鍵詞 European Union Allowance ; Esscher transform ; jump diffusion model ; Black`s formula
日期 2015
上傳時間 10-Dec-2015 16:16:09 (UTC+8)
摘要 Carbon markets trade the spot European Union Allowance (EUA), with one EUA providing the right to emit one tone of carbon dioxide (CO2). We examine the spot EUA returns in BlueNext that exhibit jumps and a volatility clustering feature. We propose a regime-switching jump diffusion model (RSJM) with a hidden Markov chain to capture not only a volatility clustering feature, but also the dynamics of the spot EUA returns that are influenced by change in the CO2 emission economic conditions. In addition, the switching jump intensities of the RSJM are shown to be affected by change in the carbon-market macroeconomic environment. We further derive the theoretical futures-option prices with a constant convenience yield under the RSJM via the generalized Esscher transform where regime-switching risk is priced with a risk premium. The empirical study shows that the derived futures-option pricing model under the RSJM with regime-switching risk is a more complete model than a jump diffusion model for pricing CO2 options.
關聯 The European Journal of Finance
資料類型 article
DOI http://dx.doi.org/10.1080/1351847X.2015.1050526
dc.contributor 金融學系
dc.creator (作者) Li, Chang-Yi;Chen, Son-Nan;Lin, Shih-Kuei
dc.creator (作者) 林士貴zh_TW
dc.date (日期) 2015
dc.date.accessioned 10-Dec-2015 16:16:09 (UTC+8)-
dc.date.available 10-Dec-2015 16:16:09 (UTC+8)-
dc.date.issued (上傳時間) 10-Dec-2015 16:16:09 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/79626-
dc.description.abstract (摘要) Carbon markets trade the spot European Union Allowance (EUA), with one EUA providing the right to emit one tone of carbon dioxide (CO2). We examine the spot EUA returns in BlueNext that exhibit jumps and a volatility clustering feature. We propose a regime-switching jump diffusion model (RSJM) with a hidden Markov chain to capture not only a volatility clustering feature, but also the dynamics of the spot EUA returns that are influenced by change in the CO2 emission economic conditions. In addition, the switching jump intensities of the RSJM are shown to be affected by change in the carbon-market macroeconomic environment. We further derive the theoretical futures-option prices with a constant convenience yield under the RSJM via the generalized Esscher transform where regime-switching risk is priced with a risk premium. The empirical study shows that the derived futures-option pricing model under the RSJM with regime-switching risk is a more complete model than a jump diffusion model for pricing CO2 options.
dc.format.extent 111 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) The European Journal of Finance
dc.subject (關鍵詞) European Union Allowance ; Esscher transform ; jump diffusion model ; Black`s formula
dc.title (題名) Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1080/1351847X.2015.1050526
dc.doi.uri (DOI) http://dx.doi.org/10.1080/1351847X.2015.1050526