基于BSM模型的碳期权设计及定价研究
Research on Design and Pricing of Carbon Options Based on BSM Model

碳交易市场是实现“双碳”目标的重要途径，丰富的碳金融衍生品有助于增加碳市场活性，可以更好地发挥发现价格和风险管理功能。本文借鉴欧洲碳排放权交易体系中的碳期货期权产品，设计了我国的以碳排放配额为标的碳期权合约，并选择BSM模型作为碳期权的基础定价模型，描述碳价波动率与碳价之间的变化过程。研究发现，全国碳交易市场是非有效市场，具有反持久性特点，全国碳排放配额收益率具有明显的条件异方差特征，且波动具有显著的持续性。基于此，应加快完善碳市场建设，积极开展碳金融创新实践，加强碳交易市场国际合作。
The carbon trading market is an important way to achieve the goal of “double carbon”. Rich carbon financial derivatives can help to increase the activity of the carbon market and better play the role of price discovery and risk management. Based on the carbon futures option products in the European carbon emission trading system, this paper designs a carbon option contract with carbon emission quota as the target in China, and chooses BSM model as the basic pricing model of carbon options to describe the changing process between carbon price volatility and carbon price. It is found that the national carbon trading market is inefficient and anti-persistent, and the national carbon emission quota yield has obvious conditional heteroscedasticity characteristics, and the fluctuation has obvious persistence. Based on this, we should speed up the improvement of carbon market construction, actively carry out carbon financial innovation practice, and strengthen international cooperation in carbon trading market.