Convenience Yield Value of International Emission Allowance Based on Call Options

<table class="table-group" id="tab1"><tr><td><table class="table"><tr><td class="thead-hr" colspan="5"><hr/></td></tr><tr class="thead"><td align="left">Convenience yield</td><td align="center">Mean</td><td align="center">Maximum</td><td align="center">Minimum</td><td align="center">Standard deviation</td></tr><tr><td class="thead-hr" colspan="5"><hr/></td></tr><tr><td align="left"><span style="width: 41.549999px;"><svg height="15.5125" id="M41" style="vertical-align:-3.13504pt" version="1.1" viewbox="0 0 41.549999 15.5125" width="41.549999" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.363)"><path d="M381 665q131 0 226.5 -93t95.5 -239q0 -158 -96 -253t-238 -95q-137 0 -231 95t-94 238q0 142 92.5 244.5t244.5 102.5zM359 629q-89 0 -151 -74.5t-62 -208.5q0 -141 69 -233t175 -92q90 0 150.5 74t60.5 211q0 152 -69 237.5t-173 85.5z" id="x4F"></path></g><g transform="matrix(.017,-0,0,-.017,13.05,11.363)"><path d="M614 175l29 -10q-33 -109 -57 -154q-121 -26 -184 -26q-90 0 -160.5 29t-112.5 77t-63.5 105.5t-21.5 119.5q0 157 108 253t277 96q36 0 71.5 -5t69 -13.5t36.5 -8.5q15 -102 20 -150l-29 -8q-20 79 -66.5 114t-128.5 35q-119 0 -187.5 -86t-68.5 -207
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<g transform="matrix(.012,-0,0,-.012,35.15,15.45)"><path d="M384 0h-275v27q67 5 81.5 18.5t14.5 68.5v385q0 38 -7.5 47.5t-40.5 10.5l-48 2v24q85 15 178 52v-521q0 -55 14.5 -68.5t82.5 -18.5v-27z" id="x31"></path></g>
</svg></span></td><td align="center">0.1886</td><td align="center">1.6670</td><td align="center">0.0019</td><td align="center">0.3109</td></tr><tr><td align="left"><span style="width: 41.549999px;"><svg height="15.5125" id="M42" style="vertical-align:-3.13504pt" version="1.1" viewbox="0 0 41.549999 15.5125" width="41.549999" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.363)"><path d="M381 665q131 0 226.5 -93t95.5 -239q0 -158 -96 -253t-238 -95q-137 0 -231 95t-94 238q0 142 92.5 244.5t244.5 102.5zM359 629q-89 0 -151 -74.5t-62 -208.5q0 -141 69 -233t175 -92q90 0 150.5 74t60.5 211q0 152 -69 237.5t-173 85.5z" id="x4F"></path></g><g transform="matrix(.017,-0,0,-.017,13.05,11.363)"><path d="M614 175l29 -10q-33 -109 -57 -154q-121 -26 -184 -26q-90 0 -160.5 29t-112.5 77t-63.5 105.5t-21.5 119.5q0 157 108 253t277 96q36 0 71.5 -5t69 -13.5t36.5 -8.5q15 -102 20 -150l-29 -8q-20 79 -66.5 114t-128.5 35q-119 0 -187.5 -86t-68.5 -207
q0 -140 73.5 -227.5t188.5 -87.5q73 0 119.5 37.5t86.5 116.5z" id="x43"></path></g><g transform="matrix(.017,-0,0,-.017,24.354,11.363)"><path d="M620 650v-28q-51 -6 -70.5 -19t-48.5 -60q-68 -110 -126 -219q-17 -32 -17 -63v-136q0 -63 15.5 -77.5t84.5 -19.5v-28h-282v28q67 5 82 19.5t15 77.5v133q0 22 -21 60l-126 219q-31 53 -49 67t-62 18v28h239v-28q-51 -6 -59.5 -18t8.5 -36q13 -25 135 -237
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<g transform="matrix(.012,-0,0,-.012,35.15,15.45)"><path d="M412 140l28 -9q0 -2 -35 -131h-373v23q112 112 161 170q59 70 92 127t33 115q0 63 -31 98t-86 35q-75 0 -137 -93l-22 20l57 81q55 59 135 59q69 0 118.5 -46.5t49.5 -122.5q0 -62 -29.5 -114t-102.5 -130l-141 -149h186q42 0 58.5 10.5t38.5 56.5z" id="x32"></path></g>
</svg></span></td><td align="center">0.1960</td><td align="center">2.1288</td><td align="center">−0.0004</td><td align="center">0.3882</td></tr><tr><td align="left"><span style="width: 41.549999px;"><svg height="15.65" id="M43" style="vertical-align:-3.25792pt" version="1.1" viewbox="0 0 41.549999 15.65" width="41.549999" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.362)"><path d="M381 665q131 0 226.5 -93t95.5 -239q0 -158 -96 -253t-238 -95q-137 0 -231 95t-94 238q0 142 92.5 244.5t244.5 102.5zM359 629q-89 0 -151 -74.5t-62 -208.5q0 -141 69 -233t175 -92q90 0 150.5 74t60.5 211q0 152 -69 237.5t-173 85.5z" id="x4F"></path></g><g transform="matrix(.017,-0,0,-.017,13.05,11.362)"><path d="M614 175l29 -10q-33 -109 -57 -154q-121 -26 -184 -26q-90 0 -160.5 29t-112.5 77t-63.5 105.5t-21.5 119.5q0 157 108 253t277 96q36 0 71.5 -5t69 -13.5t36.5 -8.5q15 -102 20 -150l-29 -8q-20 79 -66.5 114t-128.5 35q-119 0 -187.5 -86t-68.5 -207
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<g transform="matrix(.012,-0,0,-.012,35.15,15.45)"><path d="M285 378v-2q65 -13 102 -54.5t37 -97.5q0 -57 -30.5 -104.5t-74 -75t-85.5 -42t-72 -14.5q-31 0 -59.5 11t-40.5 23q-19 18 -16 36q1 16 23 33q13 10 24 0q58 -51 124 -51q55 0 88 40t33 112q0 64 -39 96.5t-88 32.5q-29 0 -64 -11l-6 29q77 25 118 57.5t41 84.5
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</svg></span></td><td align="center">0.1559</td><td align="center">2.3885</td><td align="center">−0.0012</td><td align="center">0.4291</td></tr><tr><td align="left"><span style="width: 41.549999px;"><svg height="15.5125" id="M44" style="vertical-align:-3.13504pt" version="1.1" viewbox="0 0 41.549999 15.5125" width="41.549999" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.363)"><path d="M381 665q131 0 226.5 -93t95.5 -239q0 -158 -96 -253t-238 -95q-137 0 -231 95t-94 238q0 142 92.5 244.5t244.5 102.5zM359 629q-89 0 -151 -74.5t-62 -208.5q0 -141 69 -233t175 -92q90 0 150.5 74t60.5 211q0 152 -69 237.5t-173 85.5z" id="x4F"></path></g><g transform="matrix(.017,-0,0,-.017,13.05,11.363)"><path d="M614 175l29 -10q-33 -109 -57 -154q-121 -26 -184 -26q-90 0 -160.5 29t-112.5 77t-63.5 105.5t-21.5 119.5q0 157 108 253t277 96q36 0 71.5 -5t69 -13.5t36.5 -8.5q15 -102 20 -150l-29 -8q-20 79 -66.5 114t-128.5 35q-119 0 -187.5 -86t-68.5 -207
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<g transform="matrix(.012,-0,0,-.012,35.15,15.45)"><path d="M456 178h-96v-72q0 -51 12.5 -62.5t72.5 -16.5v-27h-256v27q65 5 78 17t13 62v72h-260v28q182 271 300 426h40v-407h96v-47zM280 225v295h-2q-107 -148 -196 -295h198z" id="x34"></path></g>
</svg></span></td><td align="center">0.1389</td><td align="center">1.8049</td><td align="center">−0.0015</td><td align="center">0.3549</td></tr><tr><td align="left"><span style="width: 41.549999px;"><svg height="15.65" id="M45" style="vertical-align:-3.25792pt" version="1.1" viewbox="0 0 41.549999 15.65" width="41.549999" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
<g transform="matrix(.017,-0,0,-.017,.062,11.362)"><path d="M381 665q131 0 226.5 -93t95.5 -239q0 -158 -96 -253t-238 -95q-137 0 -231 95t-94 238q0 142 92.5 244.5t244.5 102.5zM359 629q-89 0 -151 -74.5t-62 -208.5q0 -141 69 -233t175 -92q90 0 150.5 74t60.5 211q0 152 -69 237.5t-173 85.5z" id="x4F"></path></g><g transform="matrix(.017,-0,0,-.017,13.05,11.362)"><path d="M614 175l29 -10q-33 -109 -57 -154q-121 -26 -184 -26q-90 0 -160.5 29t-112.5 77t-63.5 105.5t-21.5 119.5q0 157 108 253t277 96q36 0 71.5 -5t69 -13.5t36.5 -8.5q15 -102 20 -150l-29 -8q-20 79 -66.5 114t-128.5 35q-119 0 -187.5 -86t-68.5 -207
q0 -140 73.5 -227.5t188.5 -87.5q73 0 119.5 37.5t86.5 116.5z" id="x43"></path></g><g transform="matrix(.017,-0,0,-.017,24.354,11.362)"><path d="M620 650v-28q-51 -6 -70.5 -19t-48.5 -60q-68 -110 -126 -219q-17 -32 -17 -63v-136q0 -63 15.5 -77.5t84.5 -19.5v-28h-282v28q67 5 82 19.5t15 77.5v133q0 22 -21 60l-126 219q-31 53 -49 67t-62 18v28h239v-28q-51 -6 -59.5 -18t8.5 -36q13 -25 135 -237
q87 155 119 225q18 37 9 48.5t-67 17.5v28h221z" id="x59"></path></g>
<g transform="matrix(.012,-0,0,-.012,35.15,15.45)"><path d="M153 550l-26 -186q79 31 111 31q90 0 141.5 -51t51.5 -119q0 -93 -89 -166q-85 -69 -173 -71q-32 0 -61.5 11.5t-41.5 23.5q-18 17 -17 34q2 16 22 33q14 9 26 -1q61 -50 124 -50q60 0 93 43.5t33 104.5q0 69 -41.5 110t-121.5 41q-53 0 -102 -20l38 305h286l6 -8
l-26 -65h-233z" id="x35"></path></g>
</svg></span></td><td align="center">0.1392</td><td align="center">1.5784</td><td align="center">−0.0002</td><td align="center">0.3244</td></tr><tr class="table-tr"><td colspan="5"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

Statistical description of monthly options value of convenience yield of emission allowance.

Journal of Computational Environmental Sciences

tab1

Table 1

Table 1: Convenience Yield Value of International Emission Allowance Based on Call Options 