中文摘要：

根据持有成本理论,运用欧洲气候交易所的EUA日交易数据验证碳排放市场中市场参与者持有碳排放现货是可以获得便利收益,且便利收益是一种看涨期权。实证结果显示：碳排放便利收益对实施灵活的资产交换策略具有明显的期权特性。运用修正的Margrabe交换期权定价模型,市场参与者利用碳排放便利收益的行为特性灵活地变换交易策略,可以获得资产交换的期权价值。

英文摘要：

Based on carry-of-cost theory,we show that market investors can earn convenience yields by holding carbon emission spot using daily trading data from EUA in European climate exchange,and convenience yields is an call options.The empirical results show that convenience yields of carbon emissions have obvious options characteristics for flexible implementation of assets exchange policy.By extending Margrabe＇s exchange option pricing model,we further show market participants grasp the behavioral features of convenience yields for carbon emission to flexibly change trading policy,and they can attain distinct options value by exchanging assets.