基于实物期权理论的风电项目投资评价方法研究  

A Study on Methods for Evaluating Wind Power Investment Based on Real Option Theory

作　　者：李伟[1] 尤海侠[1] 杨强华[1] 

机构地区：[1]东北电力大学经济管理学院,吉林吉林132012

出　　处：《中外能源》2012年第10期23-27,共5页Sino-Global Energy

摘　　要：传统的投资决策方法(如净现值法)只适用于期限短、不确定性小的项目投资决策,而实物期权法恰好能克服以上问题。实物期权法弥补了传统投资决策方法的缺陷,可以在不确定性较高的环境下准确地评估项目的价值,相对于传统的评价方法更适合风电项目的投资评价。影响实物期权价值的因素中只有标的资产波动率σ(即市场风险)是引入实物期权方法时应予确认的未知变量,它的取得需要考虑多项风险对项目价值的影响,而准确识别各种风险并精确计算出其对项目价值的影响程度相当困难。因此,可应用BP神经网络算法来模拟项目价值波动率。首先选用3层的BP神经网络模型,包括输入层、隐含层、输出层;然后确定影响项目价值波动率的因素,并模拟计算。实证研究表明,将基于BP神经网络修改后的实物期权方法应用于对风电项目价值的评估,具有充分的理论基础,并且是可行的。但该模型还有一些需要改进的地方,比如在BP神经网络的训练过程中需要大量的样本,这些数据的采集可能会存在问题;在讨论如何确定市场价格波动率时,还可以考虑更多影响因素,从而使计算结果更为准确。While traditional investment decision making methods(such as the NPV method) only apply to short-term investment projects with low uncertainty,the real option method offers a solution to this problem.The real option method makes up the drawback in traditional investment decision making methods and can be used to accurately evaluate project value in an environment with high uncertainty.Compared with traditional evaluation methods,the real option method is more suitable for use in evaluating investment in wind power projects.When introducing the real option method,among all factors affecting real option values,only volatility of underlying assets,σ,(i.e.,market risk) is an unknown variable to be determined.Multiple risks that may affect project value need to be considered when determining the variable;however,it is very difficult to accurately identify the various risks and estimate the precise effect of these risks on project value.Therefore,the BP Neural Network Algorithm can be used to simulate the fluctuations of project value.A 3-layer BP Neural Network model is first used,which includes an input layer,a hidden layer and an output layer.Factors affecting fluctuations in project value are then determined before an analog computation.Empirical study shows that applying the real option method modified based on the BP Neural Network in the valuation of wind power projects has adequate theoretical basis and is feasible.However,the model still needs improving.For example,a large number of samples are needed in the training process of the BP Neural Network and problems may occur during data acquisition.More influencing factors can be taken into account when discussing the method for determining market price fluctuations in order to acquire more accurate computed results.

关 键 词：实物期权法 净现值法 波动率 BP神经网络模型 不确定性 风电项目价值 

分 类 号：F426.61[经济管理—产业经济] F224