Table of Contents
Journal of Computational Environmental Sciences
Volume 2014, Article ID 963964, 5 pages
http://dx.doi.org/10.1155/2014/963964
Research Article

Convenience Yield Value of International Emission Allowance Based on Call Options

School of Finance, Zhejiang University of Finance & Economics, Hangzhou 310018, China

Received 26 December 2013; Revised 10 May 2014; Accepted 21 May 2014; Published 30 June 2014

Academic Editor: Arash Massoudieh

Copyright © 2014 Kai Chang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

Convenience yield is call options; spot holders attain excess investment revenues through holding spot assets instituted futures assets. Based on the hypothesis of convenience yields, our empirical results show that monthly convenience yield of emission allowance has significant options feature; convenience yield has strong correlation with price spread between spot and futures and their price volatility. The market information set is helpful to adjust portfolio policy and improve portfolio investment revenues of emission allowances.