附碳汇收益的林业投资项目价值评估——基于实物期权定价理论

发布时间：2018-05-16 08:23

本文选题：林业碳汇 + 复合实物期权　；参考：《中国管理科学》2017年03期

【摘要】："绿色发展"已经贯彻到各个领域当中,最根本的要追溯到绿色林农业发展。在碳排放日趋严重下,林业碳汇发展给企业减排缓解了压力,并给林业投资者带来新的增益点。传统林业投资项目价值评估仅考虑的木材采伐收益,现在来看价值被低估了。为合理评估附碳汇收益的林业投资项目价值,本文把碳汇收益视为内生变量纳入到修正的Faustmann模型中,计算了该林地在投资期限内的期望价值。借鉴复合实物期权的基本思想,选用随机动态规划方法求解投资项目的最大化市场价值,并结合二叉树期权法分析了林业项目的投资组合及策略问题,实现对附碳汇收益的林业投资项目复合实物期权的定价。以湖南省资兴市碳汇造林项目为例,研究了投资者在各阶段的决策行为及对投资项目的价值评估。进一步分析发现碳汇价格和林木价格的变动与林业项目价值呈正相关性,在其他条件一定的情况下,投资费用越高则期权的价值就会越小。
[Abstract]:Green development has been carried out in various fields, the most fundamental is to trace back to the development of green forestry agriculture. Under the increasingly serious carbon emissions, the development of forestry carbon sink alleviates the pressure on enterprises to reduce emissions and brings new gain points to forestry investors. The traditional forestry investment project value evaluation only considers the wood cutting income, now the value is underestimated. In order to evaluate the value of forestry investment project with carbon sink income reasonably, the carbon sink income is taken as an endogenous variable into the modified Faustmann model, and the expected value of the forest land during the investment period is calculated. Based on the basic idea of compound real options, the stochastic dynamic programming method is used to solve the maximization market value of investment projects, and the portfolio and strategy of forestry projects are analyzed with the binomial tree option method. To realize the pricing of compound real option of forestry investment project with carbon sink income. Taking the carbon sequestration afforestation project in Zixing City, Hunan Province as an example, the decision-making behavior of investors in each stage and the evaluation of the value of the investment project are studied. It is found that the change of carbon sink price and forest price is positively correlated with the value of forestry project. The higher the investment cost is, the smaller the value of option will be.
【作者单位】：北京工业大学经济与管理学院;
【基金】：国家自然科学基金资助项目(71473010)
【分类号】：F326.27;X196

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