实物期权理论在CCS项目投资中的应用研究

项目名称： 实物期权理论在CCS项目投资中的应用研究

项目编号： No.71203008

项目类型： 青年科学基金项目

立项/批准年度： 2013

项目学科： 宏观管理与政策

项目作者： 张贤

作者单位： 北京理工大学

项目金额： 23万元

中文摘要： 针对CCS项目的实施成本高不确定性、项目投资不可逆性和高风险性特征，系统梳理CCS项目投资决策中蕴含的不确定因素，研究影响CCS项目价值的关键因素、形成机理以及最佳投机时机和定价等问题。本研究运用蒙特卡洛模拟对投资决策过程中的不确定性因素进行模拟分析，探索CCS减排项目收益不确定性的影响因素，揭示CCS项目的价值形成机理；运用实物期权理论对分阶段CCS项目投资的整体价值进行分析，建立针对CCS项目的延迟与复合实物期权投资决策模型；同时以NZEC项目为研究案例，与传统模型进行对比，验证实物期权评价模型的实用性和科学性。本研究不仅有益于正确评价CCS项目的投资价值，使决策者在避免投资损失风险的同时获得对潜在收益更清晰的认知，为投资者做出正确的投资决策提供有价值的参考，而且使减排项目投资评估更趋于实际，为我国二氧化碳减排政策的制定提供了有益参考。

中文关键词： CCS；三叉树；实物期权；不确定性；

英文摘要： Considering the high-risk and irreversibility of CCS projects investment and high uncertainty of costs, this study addresses the uncertain factors in the investment decision-making process, explores key impact factors of the project value, the formation mechanism, the best speculative opportunity and pricing issues of CCS projects. Monte Carlo simulation is first used to analyze the uncertainties in the investment process of the projects and to reveal the impact factors of the uncertain mitigation returns and the formation mechanism of project value. Then based on the results of uncertainties analysis,it analyses the overall value of phase-oriented CCS investment project through Real Options Theory, building the delay and compound real options investment decision-making models, in order to fully reveal the follow-up decision-making opportunities and investment value for CCS projects. In addition, NZEC project is applied as a case study to verify the practicability and scientificalness of Real Options Evaluation Model, and to compare with the traditional methods. This study will not only help stakeholders make the right investment decisions with precise evaluation of the CCS project and a more clear understanding and practical assessment of the potential benefits and returns for emission reduction projects, but

英文关键词： Carbon capture and storage；trinomial tree model；real option theory；uncertainty；