基于Hartman模型的林业碳汇价值二叉树实物期权评估

The Value Evaluation of Forestry Carbon Sinks by Binomial Tree Real Options Based on Hartman Model

以广西壮族自治区桂平市碳汇造林项目为研究对象,采用基于Hartman模型的二叉树实物期权法对该项目进行价值评估研究,并运用情景分析和敏感性分析,就不确定性因素对项目期权价值的影响进行分析。结果表明:林业碳汇项目具有丰富的期权价值,碳价格波动率、碳价格、木材价格对项目期权价值具有显著正向影响,利率对项目期权价值具有显著负向作用。基于结论提出3点建议:一是鼓励绿色金融创新,开发碳汇期权产品;二是健全林业碳汇培育机制;三是适当降低利率,降低碳交易入场门槛。

⑴Background——Due to the requirements of traditional methodology,it is difficult for forestry carbon sinks projects to gain the favor of investors because of the lack of plant growth models,long carbon sinks formation time,less emission reduction,low return on investment and high technical difficulty.Therefore,finding a new methodology to enhance the value of forestry carbon sinks projects has become an urgent problem for the high-quality development of forestry carbon sinks projects.⑵Methods——The real option method was used to evaluate the value of forestry carbon sinks projects,and the scenario analysis and sensitivity analysis were used to analyze the influence of uncertainty factors on the option value of forestry carbon sinks projects.Taking Guiping forestry carbon sinks project in Guangxi Zhuang Autonomous Region as the research object,combining the growth model and carbon storage model,and the timber income and carbon storage income were incorporated into forestland management,first,the Hartman model was used to calculate the net present value of forestland,then the binomial tree real option model was used to calculate the option value of the project,and finally the scenario analysis and sensitivity analysis were used to discuss the impact of Chinese fir price,carbon price volatility,interest rate,carbon sinks price and other factors on the option value.⑶Results——First,forestry carbon sinks projects have rich option value.The real option method based on Hartman model considers the carbon sinks income as an endogenous variable in the calculation of option value.Through calculation,it is concluded that the option value of Guiping carbon sinks afforestation project in Guangxi Zhuang Autonomous Region is RMB 13.191 yuan/hm 2,with a total value of RMB 162 million,which increases by RMB 11 million compared with the option value not included in the carbon sinks income,indicating that the project contains rich option value.The inclusion of carbon sinks income can significantly increase the option value of the project.Second,the volatility of carbon price has a positive effect on the option value,and this positive effect increases significantly with the increase of interest rate.Third,when the volatility of carbon price isσ=0.20,σ=0.33 andσ=0.40,and the price of Chinese fir rises from RMB 1300 yuan/m 3 to RMB 1400 yuan/m 3,the increase of the option value of the project is 76.71%,53.82%and 28.35%respectively,which indicates that the price of Chinese fir has a significant positive effect on the project value.Fourth,the carbon sinks price has a positive effect on the option value of the project.Fifth,the interest rate has a negative effect on the option value of the project.⑷Conclusions and Discussions——The binomial tree real option method based on the Hartman model can evaluate the option value of forestry carbon sinks projects more scientifically,and can be regarded as the theoretical basis for increasing the value of carbon sinks projects.The carbon price volatility,Chinese fir price,carbon sinks price and the interest rate have significant effects on the option value of forestry carbon sinks projects.Based on the research conclusions,the following policy recommendations are put forward:First,encourage green financial innovation and develop carbon sinks option products.Second,improve the forestry carbon sinks cultivation mechanism to stimulate market activity.Third,appropriately reduce interest rates and lower the entry threshold for carbon trading.