Convenience Yields and Options Value of Exchanging different- maturity Futures Contracts Implied from Emissions Allowances Futures Market

Our results find that futures contracts with different maturities for emissions allowances exhibit a significant cointegration relationship by using two-step EG model, similar market information has a convergent effect on prices spreads of futures contracts with different maturities. Convenience yields implied from the futures markets exhibit a significant options property. Convenience yields are call or put options, based on extending exchange options pricing model, market participants flexibly optimize assets portfolio sizes between the nearby and distant futures contracts using the options property of convenience yields for emissions allowances, and then they can achieve excess market investment revenues. Key-Words: emissions allowances, cointegration, futures prices spreads, convenience yields, differentmaturity futures, options property, investment revenues