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

作　　者：潘高永奇 张胜良 彭红军[2] PAN Gaoyongqi;ZHANG Shengliang;PENG Hongjun(College of Arts&Sciences,University of Rochester,Rochester City 14627,US;College of Economics and Management,Nanjing Forestry University,Nanjing 210037,China)

机构地区：[1]罗切斯特大学文理学院,美国罗切斯特14627 [2]南京林业大学经济管理学院,南京210037

出　　处：《林业经济问题》2023年第2期209-215,共7页Issues of Forestry Economics

基　　金：教育部人文社会科学研究青年基金项目(21YJC790162);江苏省社会科学基金一般项目(22EYB010)。

摘　　要：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

关 键 词：林业碳汇项目 期权价值 二叉树实物期权法 Hartman模型 

分 类 号：F830.59[经济管理—金融学] F326.20