金融学院知识库

在全球气候变暖背景下，气候变化不断带来严峻的风险挑战。自我国2020年9月明确提出双碳目标以来，绿色金融体系构建的步伐不断加快，我国从2013年便逐步开启了碳市场试点，2021年全国碳排放权市场交易开市，同年4月19日，计划开发碳排放权衍生交易品种的广州期货交易所挂牌成立，标志着我国开始着手场内碳衍生交易市场的建设。而碳期权作为碳衍生交易市场的重要组成部分，对于补充完善碳金融体系和推动经济可持续发展具有重要作用，因此，本文结合国内外碳市场现状分析了推出碳期权的可行性，并进行了产品设计。

首先，本文深入地分析了我国碳期权产品的开发需求，通过研究国内外碳交易市场的发展现状，阐述了我国开发碳期权的需求背景和优势。其次，本文借鉴国外EUA碳期权，以碳排放配额为标的资产，设计了我国的碳期权产品合约。再次，对设计的碳期权产品进行定价研究，本文以2021年7月16日至2023年4月10日期间全国碳排放权交易市场的碳配额收盘价为样本，通过GARCH模型结合分形布朗运动期权定价模型研究并计算了碳期权的理论价格，同时结合广东、湖北，上海和福建四个不同碳市场的状况对定价结果进行了简要分析。最后，本文针对研究过程中发现的问题提出了相关建议，并对碳期权推出后的推广前景和具体应用前景进行了展望，以期加快我国碳期权市场的建设进程。

In the context of global climate change and the associated risks it poses, the challenges of climate change have become increasingly severe. Since China's clear announcement of its dual carbon goals in September 2020, the pace of constructing a green financial system has accelerated. China has gradually initiated carbon market pilots since 2013, and in 2021, the nationwide carbon emission trading market commenced operations. On April 19 of the same year, the Guangzhou Futures Exchange, with plans to develop carbon emission rights derivatives, was established, marking China's initiation of establishing an on-exchange carbon derivatives trading market. Carbon options, as a vital component of the carbon derivatives trading market, play a significant role in complementing and improving the carbon financial system, thereby promoting sustainable economic development. Therefore, this paper combines an analysis of the current status of domestic and international carbon markets to assess the feasibility of introducing carbon options and subsequently undertakes product design.

Firstly, the paper deeply analyzes the development demand of China's carbon option products, and expounds the demand background and advantages of China's carbon option development by studying the development status of carbon trading markets at home and abroad. Secondly, drawing inspiration from foreign EUA carbon options, the paper designs carbon option product contracts with carbon emission quotas as the underlying asset. Thirdly, the paper conducts a pricing study on the designed carbon option products. It selects the closing prices of carbon quotas in the national carbon emission trading market between July 16, 2021, and April 10, 2023, as the research sample and calculates the theoretical prices of options using the GARCH model combined with a fractal Brownian motion option pricing model. A brief analysis of the pricing results is also provided, considering the conditions in four different carbon markets in Guangdong, Hubei, Shanghai, and Fujian. Finally, the paper proposes relevant suggestions based on issues identified during the research process and provides a prospective outlook on the promotion and specific application prospects of carbon options, aiming to expedite the development of China's carbon options market.