基于实物期权的绿色投资定价模型研究

The Pricing Model Research of Green Investment Based on Real Option

针对绿色项目扩大再投资的决策问题,考虑到技术进步,提炼绿色投资的碳资产价值作为衡量标准,并通过数值模拟对比分析4种不同技术演化路径下绿色投资的实物期权价值。研究表明:绿色投资项目因技术先进性具备扩大再投资优势,比较实物期权行权成本与扩大再投资后项目碳资产收益,是扩大投资的重要决策依据。当行业处于技术进步较缓、碳排放水平波动较大的技术孕育期时,扩大绿色投资具有更高的实物期权价值。

Regarding the decision-making problem of expanding reinvestment in green projects,taking into account of technological progress,the carbon assets value of green investment is extracted as a measurement standard,and the real option value of green investment under four different technological evolution paths is compared through numerical simulation.Research shows that green investment projects have the advantage of expanding reinvestment due to technological advancement.Comparing the real option exercise cost with the project′s carbon assets income after expanding reinvestment is an important decision-making basis for expanding investment.When the industry is in a technological incubation period with slower technological progress and greater fluctuations in carbon emission levels,expanding green investment has a higher real option value.