考虑随机降雨预测的区域水期权交易动态定价机制——以广东省为例  

Dynamic pricing mechanism of regional water option trading considering random rainfall forecast:A case study of Guangdong province

作　　者：徐豪 刘钢[1,2,3] XU Hao;LIU Gang(Institute of Management Science,Hohai University,Nanjing 210098,China;State Key Laboratory of Hydrology-Water Resources and Hydraulic Engineering,Hohai University,Nanjing 210098,China;Collaborative Innovation Center for Coastal Development and Protection,Hohai University,Nanjing 210098,China)

机构地区：[1]河海大学管理科学研究所,南京210098 [2]河海大学水文水资源与水利工程科学国家重点实验室,南京210098 [3]河海大学沿海开发与保护协同创新中心,南京210098

出　　处：《自然资源学报》2020年第3期713-727,共15页Journal of Natural Resources

基　　金：国家重点研发计划项目(2017YFC0404600);国家社会科学基金项目(14CGL030)。

摘　　要：水期权交易旨在解决水资源时空分布不均的问题,伴随着全球气候变化,降雨量已成为影响水资源时空分布不均的重要因素。运用马尔科夫链进行降雨状态的划分和预测,在降雨量预测的基础上进行水期权交易相关费用的确定;将降雨量指标的预测结果融入到水期权最终交易价格的确定中,运用改进的Black-Scholes期权定价模型结合降雨量预测结果,确定水期权交易的权利金;最后运用扩展性线性支出模型进行计算结果的合理性检验,证明模型所确定的交易价格的合理性。以广东省为例进行案例分析,验证将降雨量指标融入到水期权交易中的必要性,以及模型所确定的水期权交易相关费用的合理性,证明波动水价相对于阶梯水价的优越性。考虑降雨量的水期权交易可以充分体现水市场的供需关系,提高我国水期权交易定价的科学性。Water option trading aims at solving the problem of uneven spatial and temporal distribution of water resources. With the change of global climate, rainfall has become an important factor leading to the uneven spatial and temporal distribution of water resources. In this paper, Markov chain is used to divide and forecast the rainfall scenarios. On the basis of rainfall forecast, the related costs of water option trading are determined. The forecast results of rainfall index are integrated into the determination of the ultimate overprice of water options.The improved Black-Scholes option pricing model is used to determine the rights of water options trading based on the forecast results of rainfall. Finally, the rationality of the calculation results is verified by using the extended linear expenditure model, which proves the rationality of the transaction price determined by the model. Taking Guangdong province as an example,this paper verifies the necessity of incorporating rainfall index into water option trading and the rationality of the related costs of water option trading determined by the model, and proves the superiority of fluctuating water price over stepped water price. Water option trading considering rainfall fully reflects the relationship between supply and demand in water market,and improves the scientificity of water option trading pricing in China.

关 键 词：水期权 降雨量 马尔科夫链 BLACK-SCHOLES模型 ELES模型 

分 类 号：F832.5[经济管理—金融学] TV213.4[水利工程—水文学及水资源]