Reduced interest option pricing for green bonds

Author:

Zheng ChengliORCID,Jin Jiayu,Han LiyanORCID

Abstract

PurposeThis paper originally proposed the fuzzy option pricing method for green bonds. Based on the requirements of arbitrage equilibrium, this paper draws on Merton's corporate bond option pricing model.Design/methodology/approachDescribing the asset value behavior of green bond issuing enterprises through diffusion-jump processes to reflect the uncertainty brought by carbon emission reduction policies and technologies, using approximation methods to get the analytical pricing formula and then, using a fuzzification technique of Choquet expectation under  λ-additive fuzzy measures after considering fuzzy factors, the paper provides fuzzy intervals for the parity coupon rates of green bonds with different subjective levels for investors.FindingsThe paper proposes and argues the classical and fuzzy option pricing methods in turn for both corporate ordinary bonds and green bonds, considering carbon risk or climate risk. It implements the scenario analysis varying with industry emission standards and discusses the sensitiveness of the related key parameters of the option.Practical implicationsThe fuzzy option pricing for the green bonds provides the scope of the variable equilibrium values, operational theoretical supports and some policy implications of carbon reduction and promoting green funding.Originality/valueThe logic of introducing the fuzziness of the option pricing for the green bonds lies with considering the existence of fuzzy information about the project supported by the green bond and the subjectivity of investors and it also responds to changes in technological uncertainty and policy uncertainty in the process of “carbon peaking and carbon neutrality.”

Publisher

Emerald

Reference62 articles.

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3