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 |
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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 |