"双碳"目标下碳金融衍生品创新:亚式碳期权合约设计OACHSSCD

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.