金融理论与教学2026，Vol.44Issue(3)：1-12,12.
"双碳"目标下碳金融衍生品创新:亚式碳期权合约设计
Innovation of Carbon Financial Derivatives Under the Dual Carbon Goals:Design of Asian Carbon Option Contracts
摘要
Abstract
Against the backdrop of low-carbon transition,China's goals of carbon peaking and carbon neutrality are being steadily advanced.To meet the needs of long-term hedging by industrial entities and cyclical return management by institutional investors,this study introduces Asian options,which present significant advantages in risk hedging and reducing exercise uncertainty.Taking national carbon emission allowances as the underlying asset,this study designs an Asian carbon option contract based on real trading scenarios,which not only mitigates the impact of maturity price fluctuations but also balances pricing stability and market practicality.To verify the feasibility of the contract,this study selects the daily closing prices of carbon allowances from July 16,2021 to May 13,2024 as samples,adopts the fractional-jump diffusion model characterized by leptokurtic and fat-tailed non-normal distribution to calculate theoretical prices,and compares them with European option prices under the Black-Scholes model and the fractional Brownian motion model.The results show that the three models yield consistent price trends,confirming their reasonable pricing capabilities;meanwhile,the price of Asian options falls between those of the other two types of European options,highlighting the advantage of pricing equilibrium of the fractiona-jump diffusion model.This study aims to provide theoretical support and practical pathways for the high-quality development and sustainable growth of the national carbon market.关键词
碳期权/碳排放配额/合约设计/亚式期权Key words
carbon options/carbon emission allowances/contract design/Asian options分类
管理科学引用本文复制引用
齐岳,王越,张子悦,李颖瑛.."双碳"目标下碳金融衍生品创新:亚式碳期权合约设计[J].金融理论与教学,2026,44(3):1-12,12.基金项目
2020年国家社科基金重大项目"国家重大突发事件信息公开质量研究"(20&ZD142). （20&ZD142）
