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題名 Detecting and modelling the jump risk of CO2 emission allowances and their impact on the valuation of option on futures contracts
作者 Yang, Sharon S.;Huang, Jr-Wei;Chang, Chuang-Chang
楊曉文
貢獻者 風險與保險研究中心
關鍵詞 Emission allowances ; Dynamic jump model ; Jump test ; Conditional Esscher transform
日期 2015
上傳時間 10-十二月-2015 16:16:28 (UTC+8)
摘要 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.
關聯 Quantitative Finance
資料類型 article
DOI http://dx.doi.org/10.1080/14697688.2015.1059953
dc.contributor 風險與保險研究中心-
dc.creator (作者) Yang, Sharon S.;Huang, Jr-Wei;Chang, Chuang-Chang-
dc.creator (作者) 楊曉文-
dc.date (日期) 2015-
dc.date.accessioned 10-十二月-2015 16:16:28 (UTC+8)-
dc.date.available 10-十二月-2015 16:16:28 (UTC+8)-
dc.date.issued (上傳時間) 10-十二月-2015 16:16:28 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/79628-
dc.description.abstract (摘要) 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.-
dc.format.extent 111 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Quantitative Finance-
dc.subject (關鍵詞) Emission allowances ; Dynamic jump model ; Jump test ; Conditional Esscher transform-
dc.title (題名) Detecting and modelling the jump risk of CO2 emission allowances and their impact on the valuation of option on futures contracts-
dc.type (資料類型) article-
dc.identifier.doi (DOI) 10.1080/14697688.2015.1059953-
dc.doi.uri (DOI) http://dx.doi.org/10.1080/14697688.2015.1059953-