The value of emission permits in environmental markets derives from the particular design features of the underlying cap-and-trade system. In this paper, we evaluate a model framework for the price dynamics of emission permits which accounts for these features in a reduced-form way. Based on permit futures and option data from the European Union Emissions Trading System, the world’s largest environmental market, we show that model variants which represent the design of the system most accurately provide the best fit to historical futures prices and achieve the best option pricing performance. Our results suggest that the specific design of cap-and-trade systems directly translates to the dynamic properties of emission permit prices, and that models tailored to environmental markets are the best choice for related pricing and risk management decisions.

中文翻译：

---

排放许可证价格的简化形式模型的经验表现

环境市场中排放许可证的价值源于基础总量控制与交易系统的特定设计特征。在本文中，我们评估了排放许可证价格动态的模型框架，该模型框架以简化形式考虑了这些特征。根据全球最大的环境市场欧盟排放权交易系统的许可期货和期权数据，我们显示出代表系统设计的模型变量最准确地提供了与历史期货价格的最佳匹配，并实现了最佳的期权定价表现。我们的结果表明，总量控制和交易系统的特定设计直接转化为排放许可价格的动态特性，