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排污权交易实行后,增加了发电投资的不确定性,传统的净现值分析法已经无法满足投资决策的需要。文中采用广义自回归条件异方差模型描述电价、燃煤价格、天然气价格、CO2排污权价格和碳捕集与封存(CCS)处理价格,根据实物期权理论,将多种不确定性因素综合,建立了实物期权模型,分析了发电投资者在面临电价、燃料价格、排污权价格、政策变动、CCS技术发展等不确定性时,如何选择投资于传统的燃煤发电、联合循环燃气轮机(CCGT)机组还是风电、核电等新能源机组。最后,采用蒙特卡洛模拟法确定各种选择的项目价值和投资时间,验证了模型的有效性。
Emissions trading after the implementation of increased investment in power generation uncertainty, the traditional method of net present value analysis has been unable to meet the needs of investment decisions. In this paper, the generalized autoregressive conditional heteroscedasticity model is used to describe the prices of electricity, coal, natural gas, CO2 emission rights and carbon capture and storage (CCS) prices. According to the real option theory, a variety of uncertainties are integrated to establish The real option model is used to analyze how power generation investors choose to invest in traditional coal-fired power generation and combined cycle gas turbine (CCGT) units in the face of uncertainties such as electricity price, fuel price, emission rights price, policy changes and CCS technology development. Or wind power, nuclear power and other new energy units. Finally, Monte Carlo simulation is used to determine the project value and investment time of each option, which verifies the validity of the model.