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雾霾天气对社会经济、企业经营、国民健康造成损失.不同于传统的实体经济方式如汽车限行、工厂减排等控制雾霾,本文设计以PM2.5浓度指数为标的的雾霾期权合约,利用虚拟经济手段对冲雾霾风险.文章选取北京市2012年10月9日至2015年7月17日PM2.5浓度日数据建立Ornstein-Uhlenbeck(O-U)模型描述数据的季节性趋势及方差,然后在无套利定价框架下基于鞅定价方法,对2015年7月18日至2015年8月17日的雾霾指数期权进行蒙特卡罗模拟定价和比较验证.结果表明,各标的雾霾指数期权的模拟价格精度良好.通过两个利用期权交易对冲雾霾风险的示例,本文表明了设计的可行性.
Fog and haze weather damage to the social economy, business management, national health.Different from the traditional real economy methods such as car limit line, factory emission reduction control haze, this paper design PM2.5 concentration index as the subject of the haze option contract, Hedge the risk of smog by means of fictitious economy.We selected the seasonal trend and variance of the Ornstein-Uhlenbeck (OU) model to describe the data from the PM2.5 concentration date data of Beijing from October 9, 2012 to July 17, 2015, and then Based on the martingale pricing method under no-arbitrage pricing, Monte Carlo simulation pricing and comparative verification of smog index options from July 18, 2015 to August 17, 2015 are carried out. The results show that the smoothed index options The simulated price accuracy is good.Through the example of using two options to hedge the risk of smog, this article shows the feasibility of the design.