2024届硕士专业学位研究生学位论文
分类号：(按中国图书分类法。可暂不填写)学校代码：10269_
密级：学号：51244407049_
East China Normal University
硕士专业学位论文
Master’s Degree Thesis (Professional)
论文题目：以碳排放配额为标的的
碳期权产品设计_
院系：经济与管理学院
专业学位类别：金融硕士
专业学位领域：金融
学位申请人：常远
指导教师：张玉鹏副教授
2024年5月19日
Thesis for Master’s Degree (Professional)in 2024
University code:10269
Student ID:51244407049
East China Normal University
Title:Design of carbon option products with carbon
emission allowances as the underlying product
Department/School:Institute of Economic and Management
Category:_____Finance_________________
Field:_________Finance ________________
Candidate:_____Yuan Chang ____________
Supervisor:_____Yupeng Zhang___________
May,2024
常远硕士学位论文答辩委员会成员名单
姓名职称单位备注
龙翠红教授华东师范大学主席
汪莉副教授华东师范大学
鲁文龙高级经济师兴业银行
摘要
纵观我国碳金融市场的发展历程，可以简要地将其分为三个阶段，从国内碳
排放交易市场的建立到开启地方碳市场试点再到成立全国碳排放交易市场，我国
碳市场的潜力巨大，未来还有很广阔的发展空间。在此背景下，国内学者对碳相
关研究的热情空前高涨，但过去的文献主要集中于宏观意义上对碳金融市场的构
建以及运行机制的研究，而对碳金融衍生产品设计的研究较少。从实际市场来看，
目前我国的碳金融衍生产品实践仍较少，碳市场中的交易品种仍集中于碳现货产
品，而碳期权的推出不仅有助于丰富我国碳排放交易市场中的交易品种、降低碳
排放现货价格波动的风险、提高碳市场的运行效率，还可以助力我国更快实现碳
达峰碳中和的目标，并提高我国在国际碳市场的定位，增强我国在国际碳定价中
的话语权。因此本研究依照我国实情对碳期权产品设计。
首先，本研究立足于当前我国碳市场发展的现实情况，充分研究了国际碳市
场的历史，提出了我国碳交易市场的未来发展方向。同时，从政策背景、技术条
件以及发展现状着手，对碳期权的研究意义进行简要叙述。其次，本研究详细阐
述了选取碳排放配额作为碳期权标的资产的原因以及合理性。同时，充分参考欧
盟碳市场的相关规定，对碳期权的合约要素进行设计以及本土化改造。最后，本
研究选取时间区间为2019年1月2日至2023年12月29日的广州和湖北碳市
场碳排放配额交易历史行情，发现均具有尖峰厚尾的非正态特征。进一步对该序
列用GARCH（1，1）模型处理，最终代入B-S 模型得到了碳排放配额看涨和看跌
期权的理论价格。
有鉴于此，本研究详细讨论了该碳排放配额期权的应用性、适用的市场主体
以及功能性。同时，也对未来该碳排放配额期权的推出提出了一些可行的建议。
关键词：碳排放配额；GARCH 时间序列分析模型；B-S 期权定价模型；碳期权；
产品设计
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ABSTRACT
Throughout the development of China's carbon finance market,it can be briefly
divided into three stages.From the establishment of the domestic trading market,to the
opening of pilot projects,and then to the establishment of the national trading market,
China's carbon market has enormous potential.In this context,domestic scholars have
shown an unprecedented enthusiasm for carbon related research,but previous literature
has mainly focused on the construction and operation mechanism of carbon finance
markets at the macro level,with less research on the design of carbon finance derivative
products.From the actual market perspective,there are still relatively few carbon
finance derivative products in China,and the trading varieties in the carbon market are
still concentrated in carbon spot products.The introduction of carbon options not only
helps to enrich the trading varieties in China's carbon emission trading market,reduce
the risk of carbon emission spot price fluctuations,improve the operational efficiency
of the carbon market,but also helps China achieve the goal,enhance China's positioning
in the international carbon market and enhance its voice in international carbon pricing.
Therefore,this study designs carbon option products based on the actual development
of China's carbon market.
Firstly,this study is based on the current development of China's carbon market,
fully studying the history of the international carbon market,and proposing the future
development direction of China's carbon trading market.At the same time,the favorable
conditions for launching carbon option products were demonstrated from the
dimensions of national policy guidance and development technology experience.
Secondly,this study elaborates on the reasons and rationality of selecting carbon
emission quotas as assets for carbon period weighting.At the same time,fully reference
the relevant regulations of the EU carbon market,design and localize the contract
elements of carbon options.Finally,this study selected the historical data of carbon
emission quota trading in the Guangzhou and Hubei carbon market from January 2,
2019to December 29,2023,and observed its statistical characteristics.It was found
that it has a non normal characteristic of sharp peaks and thick tails.Further processing
the sequence using the GARCH (1,1)model,the theoretical prices of carbon emission
quota call and put options were obtained by substituting them into the B-S option
pricing formula.
In terms of these,the applicability,applicable market entities,and functionality of
the carbon emission quota option were discussed in detail.At the same time,some
feasible suggestions have been put forward for the launch of the carbon emission quota
option in the future.
Key Words：Carbon Emission Quota;GARCH Model;B-S Model;Carbon Options;
Product Design
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