雾霾指数期权合约设计及蒙特卡罗模拟定价

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.

Contract design of haze index options and pricing by Monte Carlo simulation

Haze weather has negative impact on social economy, business operation and people's health. In contrast to traditional real-economy methods like travel restrictions or emission limitations to control haze pollution, this paper designs and introduces PM2.5-concerntration based haze derivatives, providing a fictitious-economy instrument to hedge haze risks. Using daily data of PM2.5 concentration in Beijing from October 9, 2012 to July 17, 2015, we establish an Ornstein-Uhlenbeck (O-U) model to describe the seasonality in both trend and variance of PM2.5 concentration. Using data from July 18, 2015 to August 17, 2015, we utilize Monte Carlo simulation to obtain as well as examine haze option prices applying martingale pricing approach in the non-arbitrage framework. Empirical results show that simulated haze option prices based on varied index measures display nice accuracy. In demonstrating two examples of option transactions to hedge haze risks, this paper shows the feasibility of the design.