Convenience Yield Value of International Emission Allowance Based on Call Options | Zendy

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Convenience Yield Value of International Emission Allowance Based on Call Options

Author(s) -

Kai Chang

Publication year - 2014

Publication title -

journal of computational environmental sciences

Language(s) - English

Resource type - Journals

eISSN - 2356-7279

pISSN - 2314-8292

DOI - 10.1155/2014/963964

Subject(s) - futures contract , allowance (engineering) , spot contract , portfolio , yield (engineering) , volatility (finance) , revenue , spot market , economics , financial economics , investment (military) , monetary economics , business , finance , operations management , electricity , materials science , electrical engineering , metallurgy , engineering , politics , political science , law

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.

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