ナカジマ カツシ   NAKAJIMA Katsushi   中島 克志    所属   立命館アジア太平洋大学  国際経営学部    職種   准教授
言語種別	英語
発行・発表の年月	2013/05
形態種別	論文（学術誌・プロフェショナル誌）
査読	査読あり
標題	Emission Allowance as a Derivative on Commodity-Spread
執筆形態	共著
掲載誌名	Asia-Pacific Financial Markets
巻・号・頁	20(2),pp.183-217
著者・共著者	大橋和彦
概要	We provide a valuation formula for emission allowance. Assuming that the value of emission allowance on the last day of a trading phase is equal to a spread of commodity prices (e.g. electricity and natural gas) when the spread is positive and less than the penalty, we show that the emission allowance price is equal to the value of a portfolio of European call options on the spread of the commodities. Using the formula, we obtain a hedging strategy for emission allowance trading. We also empirically analyze option value embedded in emission allowance, and find by numerical analysis that the option value is relatively large.
DOI	https://doi.org/10.1007/s10690-013-9164-5
ISSN	1387-2834