基于实物期权的燃煤电站CCS投资决策研究

发布时间：2018-02-14 05:22

本文关键词： 实物期权 CCS 碳排放交易投资决策　出处：《哈尔滨工业大学》2010年硕士论文　论文类型：学位论文

【摘要】： 近年来温室气体的过量排放导致全球气温变暖、极端气候事件频发,成为日益严重的环境问题。二氧化碳采集与存储技术(Carbon dioxide capture and storage, CCS)能在满足经济发展所需能源供应的同时实现二氧化碳的近零排放,减排潜力巨大。我国目前已成为全球最大的二氧化碳排放国,其中燃煤电站排放的二氧化碳接近总排放量的50%,因此燃煤电站投资CCS对于我国二氧化碳减排尤其重要。然而电站投资CCS面临着极高的不确定性,实物期权方法能够反映不确定性带来的价值。因此,本文将实物期权方法引入到电站CCS投资决策中。论文首先介绍了实物期权的基本理论,然后从目前条件下我国电站投资CCS所具有的性质出发,识别了CCS项目具有的延迟投资实物期权类别,分析了实物期权方法相对于传统投资决策方法的优点,并给出了电站CCS投资决策实物期权方法的应用框架。然后,本文在实物期权方法应用框架下对碳排放交易、上网电价与清洁电价、政府投资补贴以及技术进步等不确定性因素进行了分析,以欧洲气候交易所碳排放权历史数据为样本,测算出了碳排放权价格遵循几何布朗运动条件下的相关参数,并对这一随机过程进行了验证。之后构建了反映这些不确定性因素的CCS项目的投资收益方程,以该收益方程为基础,建立了延迟投资实物期权条件下CCS价值计算的二叉树和三叉树模型,并在详细阐述模型经济含义基础上,确定了具体的CCS投资决策规则。最后,论文分析了我国燃煤电站的现状与发展趋势,选取了超超临界PC(Pulverized Coal)电站和IGCC(Integrated Gasification Combined Cycle)电站作为未来我国可能应用CCS技术的基准电站,计算了实物期权规则下两类电站投资CCS项目的临界条件,将其与净现值规则下临界条件进行了对比,并对影响项目投资价值的不确定性因素进行了敏感性分析,给出了对应的政策建议。
[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.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：F224;F426.61

【参考文献】