基于模糊实物期权的水电站项目投资决策研究  

Research on Investment Decision of Hydropower Project Based on Fuzzy Real Option

作　　者：史晓瑶 王蕾[1] 貊玉龙 SHI Xiaoyao;WANG Lei;MO Yulong(College of Hydraulic and Civil Engineering,Shihezi University,Shihezi 832003,China;Renoway(Beijing)Engineering Technology Co.,Ltd.,Beijing 100020,China)

机构地区：[1]石河子大学水利建筑工程学院,新疆石河子832003 [2]瑞诺威(北京)工程技术有限公司,北京100020

出　　处：《人民黄河》2023年第3期141-145,共5页Yellow River

基　　金：新疆维吾尔自治区研究生教育教学改革研究项目;石河子大学高层次人才科研启动项目(RCZK2018C21)。

摘　　要：在国家大力开展“双碳”工作、发展清洁能源的背景下,水电项目得到了明显扶持与推进。水电项目的投资建设离不开准确的价值评估,为改善传统投资决策方法中对于非随机不确定性忽视的不足,基于支付红利和梯形模糊数,在改进B-S期权定价模型的基础上,把自由现金流折现模型和实物期权模型结合起来,构建水电站项目价值评估拓展模型。选取某中小水电站作为案例进行实证分析,并将评估结果分别与单纯应用净现值法和实物期权定价模型得出的评估结果进行比较,以验证模型的可行性。研究表明:模糊实物期权方法对于水电站项目具有很好的适用性,支付红利会降低期权价值,模型计算所得的波动率和期权价值更客观合理。Under the background of the country’s vigorous development of “double carbon” and the development of clean energy, hydropower projects have been significantly supported and promoted. The investment and construction of hydropower projects are inseparable from accurate value assessment. In order to improve the shortcomings of non-random uncertainty in the traditional investment decision-making method, this paper improved the B-S option pricing model based on the payment dividend and trapezoidal fuzzy number, and combined the free cash flow discount model and the real option model to construct a hydropower station project value evaluation and expansion model. The empirical analysis of small and medium-sized hydropower stations was selected as a case study, and the evaluation results were compared with the evaluation results obtained by the pure application of the net present value method and the real option pricing model to verify the feasibility of the model. The results show that the fuzzy real option method has good applicability for hydropower station projects, the payment of dividends will reduce the option value, and the volatility and option value calculated by the model are more objective and reasonable.

关 键 词：模糊数学 实物期权 水电站 投资决策 

分 类 号：TV9[水利工程—水利水电工程] F406.72[经济管理—产业经济] F426.61