本文關(guān)鍵詞： 實(shí)物期權(quán) CCS 碳排放交易 投資決策　出處：《哈爾濱工業(yè)大學(xué)》2010年碩士論文　論文類型：學(xué)位論文

【摘要】： 近年來溫室氣體的過量排放導(dǎo)致全球氣溫變暖、極端氣候事件頻發(fā),成為日益嚴(yán)重的環(huán)境問題。二氧化碳采集與存儲(chǔ)技術(shù)(Carbon dioxide capture and storage, CCS)能在滿足經(jīng)濟(jì)發(fā)展所需能源供應(yīng)的同時(shí)實(shí)現(xiàn)二氧化碳的近零排放,減排潛力巨大。我國(guó)目前已成為全球最大的二氧化碳排放國(guó),其中燃煤電站排放的二氧化碳接近總排放量的50%,因此燃煤電站投資CCS對(duì)于我國(guó)二氧化碳減排尤其重要。然而電站投資CCS面臨著極高的不確定性,實(shí)物期權(quán)方法能夠反映不確定性帶來的價(jià)值。因此,本文將實(shí)物期權(quán)方法引入到電站CCS投資決策中。 論文首先介紹了實(shí)物期權(quán)的基本理論,然后從目前條件下我國(guó)電站投資CCS所具有的性質(zhì)出發(fā),識(shí)別了CCS項(xiàng)目具有的延遲投資實(shí)物期權(quán)類別,分析了實(shí)物期權(quán)方法相對(duì)于傳統(tǒng)投資決策方法的優(yōu)點(diǎn),并給出了電站CCS投資決策實(shí)物期權(quán)方法的應(yīng)用框架。 然后,本文在實(shí)物期權(quán)方法應(yīng)用框架下對(duì)碳排放交易、上網(wǎng)電價(jià)與清潔電價(jià)、政府投資補(bǔ)貼以及技術(shù)進(jìn)步等不確定性因素進(jìn)行了分析,以歐洲氣候交易所碳排放權(quán)歷史數(shù)據(jù)為樣本,測(cè)算出了碳排放權(quán)價(jià)格遵循幾何布朗運(yùn)動(dòng)條件下的相關(guān)參數(shù),并對(duì)這一隨機(jī)過程進(jìn)行了驗(yàn)證。之后構(gòu)建了反映這些不確定性因素的CCS項(xiàng)目的投資收益方程,以該收益方程為基礎(chǔ),建立了延遲投資實(shí)物期權(quán)條件下CCS價(jià)值計(jì)算的二叉樹和三叉樹模型,并在詳細(xì)闡述模型經(jīng)濟(jì)含義基礎(chǔ)上,確定了具體的CCS投資決策規(guī)則。 最后,論文分析了我國(guó)燃煤電站的現(xiàn)狀與發(fā)展趨勢(shì),選取了超超臨界PC(Pulverized Coal)電站和IGCC(Integrated Gasification Combined Cycle)電站作為未來我國(guó)可能應(yīng)用CCS技術(shù)的基準(zhǔn)電站,計(jì)算了實(shí)物期權(quán)規(guī)則下兩類電站投資CCS項(xiàng)目的臨界條件,將其與凈現(xiàn)值規(guī)則下臨界條件進(jìn)行了對(duì)比,并對(duì)影響項(xiàng)目投資價(jià)值的不確定性因素進(jìn)行了敏感性分析,給出了對(duì)應(yīng)的政策建議。
[Abstract]:In recent years, excessive emissions of greenhouse gases have led to global warming and frequent extreme weather events. Carbon dioxide capture and storage (CCSs) is a growing environmental problem. Carbon dioxide capture and storage (CCSs) can achieve near zero carbon dioxide emissions while meeting the energy needs of economic development. China has become the largest carbon dioxide emitter in the world. The carbon dioxide emitted from coal-fired power stations is close to 50% of the total emissions, so it is particularly important for China to invest in CCS in coal-fired power plants. However, the investment of CCS in power plants faces a high degree of uncertainty. The real option method can reflect the value brought by uncertainty. Therefore, this paper introduces the real option method into the CCS investment decision of power plant. In this paper, the basic theory of real option is introduced, and then the category of delay investment real option in CCS project is identified according to the nature of CCS investment in power plant in our country at present. The advantages of the real option method compared with the traditional investment decision method are analyzed, and the application framework of the real option method for the CCS investment decision in power plant is given. Then, this paper analyzes the uncertainty factors of carbon emissions trading, electricity price and clean electricity price, government investment subsidy and technological progress under the framework of real option method. Taking the historical data of carbon emission rights from the European Climate Exchange as a sample, the relevant parameters of carbon emission rights price under geometric Brownian motion are calculated. The stochastic process is verified, and then the investment return equation of CCS project, which reflects these uncertain factors, is constructed, which is based on the return equation. The binary tree and tri-tree model of CCS value calculation under the condition of delayed investment real option are established. On the basis of expounding the economic meaning of the model in detail, the specific CCS investment decision rules are determined. Finally, the paper analyzes the current situation and development trend of coal-fired power plants in China, and selects ultra-supercritical PC(Pulverized Coalpower stations and IGCC(Integrated Gasification Combined cycle power stations as the reference stations for the possible application of CCS technology in the future in China. The critical conditions of two types of power plant investment CCS projects under the real option rule are calculated, compared with the critical conditions under the net present value rule, and the sensitivity of the uncertain factors affecting the investment value of the project is analyzed. The corresponding policy suggestions are given.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2010
【分類號(hào)】：F224;F426.61

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