基于实物期权的分布式风电站投资策略研究

发布时间：2018-02-28 10:58

本文关键词： 分布式风电实物期权贡献毛益临界值投资规模期望等待时间　出处：《中国管理科学》2017年09期 　论文类型：期刊论文

【摘要】：考虑分布式发电的优先自用特征与风电站的经济特性,在贡献毛益随机变动前提下,运用实物期权理论构建了分布式风电站投资机会的期权定价模型。求解出贡献毛益临界值、最优投资规模、以及延迟投资的期权价值和期望等待时间,通过算例分析验证了主要结论并给出了参数对均衡状态影响程度的变动规律。研究发现:对投资有时限的分布式风电站而言,贡献毛益临界值、最优投资规模、以及期望等待时间均与贡献毛益的期望增长率和变动率正相关,而延迟投资的期权价值与此二者相关性存在差异,且影响的显著性也不同;在一定条件和贡献毛益波动范围内,推迟投资的期权价值与相应的期望等待时间随风电自用占比或初始贡献毛益的增大而分别增大和减小,但风电自用占比对最优投资规模,以及初始贡献毛益对贡献毛益临界值与最优投资规模并无影响;决策者的最优投资决策需同时考虑贡献毛益临界值及其最优投资规模。
[Abstract]:Considering the preferential self-use characteristics of distributed power generation and the economic characteristics of wind power stations, under the premise of random variation of contribution profit, the option pricing model for investment opportunities of distributed wind power plants is constructed by using real option theory, and the critical value of contribution profit is solved. The optimal investment size, and the option value and expected waiting time of the delayed investment, The main conclusions are verified by the example analysis and the variation law of the influence of parameters on the equilibrium state is given. It is found that for the distributed wind power station with time-limited investment, the critical value of contribution to gross profit and the optimal investment scale are obtained. The expected waiting time is positively correlated with the expected growth rate and the rate of change of the contribution to the gross profit, while the option value of the delayed investment is different from the two, and the influence is also different, in the range of certain conditions and the fluctuation of the contribution profit, The option value and the expected waiting time of the delayed investment increase and decrease with the increase of the proportion of wind power consumption or the initial contribution of the gross profit, but the proportion of the wind power to the optimal investment scale. And the initial contribution profit has no influence on the critical value of contribution profit and the optimal investment scale, and the decision maker's optimal investment decision should consider the critical value of contribution profit and the optimal investment scale simultaneously.
【作者单位】：中山大学岭南(大学)学院;重庆大学经济与工商管理学院;
【基金】：国家自然科学基金重点资助项目(71133007)
【分类号】：F426.61

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