期权定价模型在碳排放权评估中的应用研究

发布时间：2018-01-02 21:24

本文关键词：期权定价模型在碳排放权评估中的应用研究　出处：《北京交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：环保的重要性和紧迫性随着社会的发展越来越显现出来,每个国家都在通过不断的环保措施控制环境污染行为的发展而采取行动。因为一系列的环境污染造成的经济问题日益显现,很多学者把碳排放、碳排放权等作为研究的对象。通过对传统评估方法的分析,本文认为,运用它们来评估我国碳排放权价值的条件并不十分成熟,同时也无法准确体现该资产的完整价值,评估结果必然会不够准确。而结合碳排放权的价值特征来看,碳排放权作为一种权利,本身就有着一定的选择性(行使权利或者不行使)。而且这种选择的灵活性配合上碳排放权价值因企业效率而异、易于部分转让这些特点,正是企业获利、资产增值的关键点。基于这些特点,运用期权定价的方法来评估碳排放权可以更全面的衡量碳排放权的价值。本文首先阐明了研究的背景、目的和意义、研究的内容、方法和思路,然后进行了文献回顾,分析研究了碳排放权相关的重要概念、碳排放权交易相关理论基础、碳排放权价值的评估、无形资产评估的方法,找到本文研究的出发点和理论基础。本文进行了碳排放权评估方法的比较与选择,充分考虑了碳排放权的资产性质和价值特征,对应用市场法、收益法、成本法评估碳排放权进行了技术分析,提出应用期权定价法评估碳排放权的尝试。本文应用碳排放权的二项式模型以深圳能源(电力企业)为例进行碳排放权期权价值评估。文章结合评估方法的选取标准,详细论述了评估方法的选取过程,并最终采用了期权评估方法来评估碳排放权。因为期权评估的最大优势就在于它考虑了选择性的价值,而选择性又是碳排放权的最大特点。正是由于这种选择性,碳排放权才能发挥经济中的调节作用,使得资源得到优化配置。文章的核心部分则是对碳排放权的期权进行详细分析并确定其价值。笔者为了突出该方法的可操作性,选择了电力企业进行说明。文章考虑了碳排放权期权的12种情况,并利用了期权定价模型以及影子价格确定了相应的期权价值。最后,文章把期权定价方法和成本法分别对深圳能源碳排放权评估的结果进行了分析,通过比较得出用成本法计算得到的碳排放权价值要远小于用期权定价方法得到的碳排放权价值,它只能作为碳排放权估值的下限,这就更加说明了用期权定价方法对碳排放权进行评估的优越性。
[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.

【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42;F832.51

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