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报告题目：Carbon Option Pricing with State-Dependent Dynamics: Evidence from a Fractional Black-76 Model

报告人：安星宇

报告时间：2026年11月7日11:00-12:00

报告地点：17吃瓜网 210会议室

邀请人：张梦晨

邀请单位：17吃瓜网 17吃瓜网

报告内容简介：Carbon options, financial derivatives based on carbon futures contracts, are regarded as risk management instruments in emissions trading markets. The Black-76 model is used for pricing these options in the European Union Allowance (EUA) market. However, its strict assumptions lead the model to encounter difficulties in describing persistent dependence and heterogeneous pricing dynamics in carbon option markets. To address this issue, this paper proposes the FBlack-76 model, which extends the classical Black-76 framework by introducing a Caputo fractional derivative of order α∈(0,1], thereby incorporating a flexible representation of nonlocal temporal dynamics in option pricing. Using EUA option market data, we estimate α and volatility σ. The results show that under extreme downside conditions, the median estimated α is lower for calls than under non-extreme conditions, whereas puts do not exhibit the same pattern. In addition, parameter identification experiments are conducted to support the numerical calibration procedure, and a residual bootstrap shows substantial finite-sample dependence between the estimates of α and volatility. Accordingly, α is interpreted as an effective fractional pricing parameter. In an out-of-sample comparison, FBlack-76 reduces mean RMSE and MAE by 17.78% and 19.17% relative to Black-76, and by 13.24% and 13.99% relative to a Merton jump-diffusion model. Finally, by incorporating option Greeks, the paper explores the implications of this framework for risk management in the carbon market, attempting to provide practical insights for emission-reduction enterprises and investors in the carbon market.

报告人简介：安星宇，博士，北京理工大学管理学院博士后。研究方向为碳市场风险管理、碳资产管理、期权定价和分数阶偏微分方程数值解法。累计发表国内外高水平学术论文8篇，管理案例入库1篇。参与国家自然科学基金面上项目3项、河北省自然科学基金面上项目1项及北京市自然科学基金青年项目1项。

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