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中文摘要：
运用随机扩散模型研究EUETS碳排放期货交易的套期保值。利用欧洲气候交易所（ECX）交易的欧盟排放配额（EUA）期权数据估计Black—Scholes、Heston模型和跳跃扩散模型参数，比较随机波动模型、BS模型和跳跃扩散模型拟合市场EUA期权价格、隐含波动率误差。实证研究表明：Heston随机波动模型更好地刻画EUA期权数据特征；最后给出DEC10期权合约基于Heston模型的套期保值曲面。
英文摘要：
This paper researches the hedging in the emission allowance futures trading ifithe EU ETS. It uses the EUA data from ECX to estimate the Black-Scholes, Heston and Jump-Diffusion models. The result shows that Heston model fit EUA options historical prices and implied volatility data better than Black-Seholes model and Jump-Diffusion model. And then it gives the hedging surface base on Heston model.
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