Author(s)

Zedong Cai ¹, Shasha Hu ², Liangyu Yao ³, Ruyuan Zhang ²

Affiliation(s)

¹ School of Finance, Shanghai University of Finance and Economics, Shanghai, China
² School of Finance, Zhejiang University of Finance and Economics, Hangzhou, China
³ School of Economics and Management, China Jiliang University, Hangzhou, China

Corresponding Author

Zedong Cai

ABSTRACT

Carbon finance play an essential role in the promotion of carbon peaking and carbon neutrality, and one support for the development of carbon finance is the structured deposit launched by banks. This article first examines the pricing rationality of a carbon finance structured deposit by using risk neutrality pricing, GARCH model, Cholesky decomposition, BS Model, Monte Carlo simulation, geometric Brownian motion, Heston model and Merton jump-diffusion model, etc., parameters used for asset pricing are all estimated with reasonable basis. Moreover, this article also optimized its design from the perspectives of increasing market participants and risk diversification. Finally, several enlightenments are summarized and put forward.

KEYWORDS

Carbon Finance, Structured Deposit, Risk Neutrality, Monte Carlo Simulation, Risk Diversification

CITE THIS PAPER

Zedong Cai, Shasha Hu, Liangyu Yao, Ruyuan Zhang, Optimized Pricing Mechanism and Design of Carbon Finance Structured Products. Financial Engineering and Risk Management (2023) Vol. 6: 34-41. DOI: http://dx.doi.org/10.23977/ferm.2023.060606.

REFERENCES

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