本文關(guān)鍵詞：期權(quán)定價模型在碳排放權(quán)評估中的應(yīng)用研究　出處：《北京交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

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【摘要】：環(huán)保的重要性和緊迫性隨著社會的發(fā)展越來越顯現(xiàn)出來,每個國家都在通過不斷的環(huán)保措施控制環(huán)境污染行為的發(fā)展而采取行動。因為一系列的環(huán)境污染造成的經(jīng)濟(jì)問題日益顯現(xiàn),很多學(xué)者把碳排放、碳排放權(quán)等作為研究的對象。通過對傳統(tǒng)評估方法的分析,本文認(rèn)為,運(yùn)用它們來評估我國碳排放權(quán)價值的條件并不十分成熟,同時也無法準(zhǔn)確體現(xiàn)該資產(chǎn)的完整價值,評估結(jié)果必然會不夠準(zhǔn)確。而結(jié)合碳排放權(quán)的價值特征來看,碳排放權(quán)作為一種權(quán)利,本身就有著一定的選擇性(行使權(quán)利或者不行使)。而且這種選擇的靈活性配合上碳排放權(quán)價值因企業(yè)效率而異、易于部分轉(zhuǎn)讓這些特點,正是企業(yè)獲利、資產(chǎn)增值的關(guān)鍵點。基于這些特點,運(yùn)用期權(quán)定價的方法來評估碳排放權(quán)可以更全面的衡量碳排放權(quán)的價值。 本文首先闡明了研究的背景、目的和意義、研究的內(nèi)容、方法和思路,然后進(jìn)行了文獻(xiàn)回顧,分析研究了碳排放權(quán)相關(guān)的重要概念、碳排放權(quán)交易相關(guān)理論基礎(chǔ)、碳排放權(quán)價值的評估、無形資產(chǎn)評估的方法,找到本文研究的出發(fā)點和理論基礎(chǔ)。本文進(jìn)行了碳排放權(quán)評估方法的比較與選擇,充分考慮了碳排放權(quán)的資產(chǎn)性質(zhì)和價值特征,對應(yīng)用市場法、收益法、成本法評估碳排放權(quán)進(jìn)行了技術(shù)分析,提出應(yīng)用期權(quán)定價法評估碳排放權(quán)的嘗試。本文應(yīng)用碳排放權(quán)的二項式模型以深圳能源(電力企業(yè))為例進(jìn)行碳排放權(quán)期權(quán)價值評估。 文章結(jié)合評估方法的選取標(biāo)準(zhǔn),詳細(xì)論述了評估方法的選取過程,并最終采用了期權(quán)評估方法來評估碳排放權(quán)。因為期權(quán)評估的最大優(yōu)勢就在于它考慮了選擇性的價值,而選擇性又是碳排放權(quán)的最大特點。正是由于這種選擇性,碳排放權(quán)才能發(fā)揮經(jīng)濟(jì)中的調(diào)節(jié)作用,使得資源得到優(yōu)化配置。文章的核心部分則是對碳排放權(quán)的期權(quán)進(jìn)行詳細(xì)分析并確定其價值。筆者為了突出該方法的可操作性,選擇了電力企業(yè)進(jìn)行說明。文章考慮了碳排放權(quán)期權(quán)的12種情況,并利用了期權(quán)定價模型以及影子價格確定了相應(yīng)的期權(quán)價值。 最后,文章把期權(quán)定價方法和成本法分別對深圳能源碳排放權(quán)評估的結(jié)果進(jìn)行了分析,通過比較得出用成本法計算得到的碳排放權(quán)價值要遠(yuǎn)小于用期權(quán)定價方法得到的碳排放權(quán)價值,它只能作為碳排放權(quán)估值的下限,這就更加說明了用期權(quán)定價方法對碳排放權(quán)進(jìn)行評估的優(yōu)越性。
[Abstract]:The importance and urgency of environmental protection with the development of society increasingly apparent, each country in the development of environmental pollution control behavior through environmental protection measures constantly and take action. Because of the economic problems caused by environmental pollution has become increasingly prominent, many scholars put carbon emissions, such as carbon emissions as the research object through the analysis. The traditional evaluation method, this paper argues that using them to evaluate China's carbon emissions value conditions is not very mature, but also cannot accurately reflect the full value of the assets, evaluation results will not accurately enough. And combined with the value characteristics of carbon emissions, carbon emissions as a right in itself there is a selective (or not to exercise the right to choose and this flexibility). With the value of carbon emission permits for enterprise efficiency varies, easy to transfer these features, Based on these characteristics, the option pricing method to evaluate carbon emissions permits a more comprehensive measure of the value of carbon emissions.
This paper firstly expounds the research background, purpose and significance, research contents, methods and ideas, and then conducted a review of the literature, analysis of the carbon emissions related important concepts, theories related to carbon emissions trading, carbon emissions evaluation value, the evaluation method of intangible assets, find the starting point of this study and the theoretical basis of this paper. The comparison and selection of evaluation methods of carbon emissions, give full consideration to the characteristics of asset quality and the value of carbon emissions, the application of the market method, income method, cost assessment of carbon emissions through technical analysis, put forward using option pricing method to evaluate carbon emissions. In this paper, binomial model the application of carbon emissions in Shenzhen energy (power enterprises) as an example to evaluate the carbon emission option value.
Based on the selection criteria of assessment methods, discusses the process of the selection of evaluation methods, and finally adopts the option method to evaluate carbon emissions. Because the biggest advantage of option assessment is that it consider the selective value, while the selectivity is the biggest characteristic of carbon emissions. It is because of this selectivity, carbon emission right to play a regulatory role in the economy, the optimal allocation of resources. The core part of the article is the detailed analysis of the carbon emissions of the options and determine its value. The author in order to highlight the feasibility of this method, choose the electric power enterprises. This paper considers 12 cases of carbon emission right option. And using the option pricing model and shadow pricing of the option value accordingly.
Finally, the option pricing method and cost method of Shenzhen energy carbon emissions assessment results were analyzed by comparing the calculation result with the cost of carbon emissions is much smaller than the value obtained by using option pricing method to carbon emission value, it can only be used as the lower limit of carbon emissions valuation, it is more to illustrate the performance of the carbon emissions were evaluated with the option pricing method.

【學(xué)位授予單位】：北京交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F830.42;F832.51

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