A study on the pricing of carbon swaptions based on uncertain fractional differential equation
不確実分数階微分方程式に基づく炭素スワップションの価格設定に関する研究 (AI 翻訳)
Wenjing Fang, Yuanguo Zhu
🤖 gxceed AI 要約
日本語
不確実性理論の枠組みでCaputo-Hadamard分数階微分方程式を用いて炭素排出許可価格のダイナミクスをモデル化し、炭素スワップションの価格を解析的に導出。上海環境能源交易所のデータでパラメータ推定と検証を行い、長期炭素価格の特性を捉える有効性を示した。
English
Using uncertainty theory, this paper models carbon allowance prices via a Caputo-Hadamard uncertain fractional differential equation and derives analytical pricing formulas for carbon swaptions. Empirical validation with Shanghai carbon market data confirms the model's ability to capture long-term price dynamics, offering tools for risk management and contract design.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
中国の炭素市場データに基づくが、日本の排出量取引制度や炭素価格リスク管理への応用可能性を示唆。金融工学的手法で炭素デリバティブを評価する手法は、日本の投資家や事業者が炭素価格変動リスクをヘッジする際の参考となる。
In the global GX context
This research contributes to global carbon finance by extending fractional calculus to carbon derivatives pricing. The model provides a theoretical foundation for hedging and risk management in emerging carbon markets, applicable to systems like the EU ETS, China's national market, and potentially Japan's future trading schemes.
👥 読者別の含意
🔬研究者:Novel application of fractional differential equations to carbon derivative pricing, with empirical validation.
🏢実務担当者:Pricing models for carbon swaptions can be used by risk managers and traders in carbon markets.
🏛政策担当者:The methodology supports the design and risk assessment of carbon financial products, informing market regulation.
📄 Abstract（原文）
Within the framework of uncertainty theory, this paper employs a Caputo-Hadamard uncertain fractional differential equation to model the dynamics of carbon emission allowance prices and investigates the pricing of carbon swaptions. Based on the constructed model, analytical expressions for the prices of carbon swaptions are derived. Actual trading data from the Shanghai Environment and Energy Exchange's national carbon market for December 2024 to December 2025 are selected to estimate the model's unknown parameters using the method of moments, and the model's validity is verified through uncertainty hypothesis testing. The results indicate that the Caputo-Hadamard uncertain fractional differential equation effectively captures the dynamic characteristics of long-term carbon emission allowance prices. The proposed pricing methods demonstrate good applicability and can provide theoretical foundations and quantitative tools for risk management and contract design for carbon market participants under conditions of information asymmetry and market incompleteness.
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.1142/s1752890926500169first seen 2026-07-14 04:59:03
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