系统管理学报2025，Vol.34Issue(5)：1401-1415,15.DOI:10.3969/j.issn2097-4558.2025.05.016
基于阻尼GARCH扩散模型的碳期权定价研究
Carbon Option Pricing with Damped GARCH Diffusion Model
摘要
Abstract
A damped GARCH diffusion model is proposed that extends the GARCH diffusion model through the incorporation of damping structure to value carbon options.The proposed damped GARCH diffusion model has the capacity to adequately capture the volatility dynamics,particularly the extreme volatility in the carbon financial market.The risk-neutral return dynamic is derived relying on the Radon-Nikodym derivative.Using the Monte Carlo simulation method,the prices for carbon options are computed.A sequential maximum likelihood method is developed to estimate the parameters of the pricing model using data on the carbon option prices and underlying asset(carbon futures)returns.An empirical analysis based on EUA options shows that damped GARCH diffusion model outperforms the Black and GARCH diffusion models in both in-sample and out-of-sample option pricing.To be specific,the root-mean-square error(RMSE)for the damped GARCH diffusion model is 91.03％and 5.39％lower than that of the Black and GARCH diffusion models in in-sample option pricing,while it is 86.73％and 2.84％in out-of-sample option pricing.The findings are robust to different evaluation criteria.Further discussion demonstrates that the damped GARCH diffusion model outperforms the stochastic volatility jump(SVJ)model in carbon option pricing.The findings highlight the critical importance of incorporating damped diffusion structure in carbon option pricing.关键词
碳期权定价/阻尼GARCH扩散模型/阻尼结构/粒子滤波/序贯极大似然估计Key words
carbon option pricing/damped GARCH diffusion model/damping structure/particle filter/sequential maximum likelihood estimation分类
管理科学引用本文复制引用
WU Xinyu,ZHU Zhitian,LI Xindan..基于阻尼GARCH扩散模型的碳期权定价研究[J].系统管理学报,2025,34(5):1401-1415,15.基金项目
国家自然科学基金资助项目(72072144,71672144,71372173) （72072144,71672144,71372173）
陕西省创新能力支撑计划软科学研究计划项目(2024ZC-YBXM-031,2021KRM183,2019KRZ007) （2024ZC-YBXM-031,2021KRM183,2019KRZ007）
西安市科技局软科学研究计划重点项目(23RKYJ0001,21RKYJ0009) （23RKYJ0001,21RKYJ0009）
陕西省哲学社会科学研究专项(2023HZ1036,2022HZ1824,2022HZ1581) （2023HZ1036,2022HZ1824,2022HZ1581）
三秦英才特殊支持计划哲学社会科学和文化艺术领域领军人才项目 （）
