基于实物期权的风力发电侧储能投资决策

Investment Decision of Energy Storage in Wind Power Generation Based on Real Options

为弥补将锂电池应用于风力发电系统的储能投资是否可行的分析中存在的不足,通过贴现现金流量法与实物期权理论的对比,建立了基于实物期权投资决策框架,提出了满足几何布朗运动假设的布莱克-舒克斯储能项目实物期权定价模型,并利用MATLAB软件中Financial Toolbox工具箱中的价格衍生工具对模型的不确定因素进行了灵敏度分析。案例分析表明将实物期权应用在具有不确定因素的风力发电侧储能项目中,可以预测未来收益,为投资者提供灵活的投资方案,避免投资失误。

To remedy the insufficiency existed in the analysis on whether the investment decision of applying lithium batteries to the energy storage for wind power generation was feasible or not,firstly,by means of contrasting discounted cash flow(abbr.DCF)and real option(abbr.RO)an investment decision framework based on RO was established.Secondly,a Black-Shooks real option pricing model for energy storage project,which satisfied the geometric Brownian motion hypothesis,was proposed,and the price derivatives in the Financial Toolbox of MATLAB software was utilized to conduct the sensitivity analysis on uncertain factors in the proposed model.Case study results show that applying the real option to the energy storage project at wind power generation side that possesses uncertain factors,the future profit can be predicted,thus it can provide flexible investment plan for the investor to avoid the investment mistake.