摘要

　　能源不仅是维持居民生活水平的物质基础和关键要素，也是促进社会经济稳定发展的重要源泉。大力推进能源投资项目的建设生产，是提升能源生产保障能力，缓解我国能源供需矛盾的重要举措。《2022年能源工作指导意见》指明，增强煤炭煤电的兜底保障能力，不断加大油气勘探开发力度，积极优化输电通道规划建设，是“十四五”时期保障我国能源安全的基本战略。未来一段时期，我国能源投资项目的数量与规模会不断扩增。当前环境下，如何科学地评估能源投资项目价值是能源投资项目决策过程中亟需解决的重要问题。实物期权评估方法因更能体现能源投资项目在不确定性下的潜在价值，备受学界认可。但长期以来，对能源投资项目中是否存在实物期权价值以及实物期权价值如何变化的研究却没有得到学者们足够的重视。因此，本文将探讨分析能源投资项目中是否存在实物期权价值，以期对能源投资项目价值进行有效评估和管理。

　　为将实物期权思想更加充分地融入能源投资项目评价中，首先，从能源投资项目的概念、特点和影响因素入手，基于实物期权思想，剖析能源投资项目中实物期权价值的存在性以及项目全寿命期内所蕴含的实物期权类型。其次，通过梳理近5年学者们构建的评估能源投资项目价值的实物期权模型，分析并总结这些模型的共有特征，以确立能源投资项目实物期权基本评价模型，推导最优投资决策规则的临界价格公式。再次，采取蒙特卡罗法模拟我国2020-2022年能源周价格的分布情况，检验能源价格变动模型的适用性，以保障实物期权基本评价模型确立的合理性。从次，通过实证研究，求解陕西DHZ矿产项目的净现值和实物期权价值。实证结果显示，不确定性环境下，实物期权价值确实存在于能源投资项目中。再之，相较于贴现现金流法，实物期权法能更加便捷有效地帮助投资者规避风险、科学投资，挖掘能源投资项目中的潜在价值。最后，基于实物期权价值的分布规律、触发条件和评估方法三个方面，提出具体的能源投资项目管理策略，以期为投资者提供一个合理便捷的决策方法和指导意见。

ABSTRACT

　　Energy is not only the material basis and key element to maintain the living standard of residents, but also an important source to promote stable social and economic development. Vigorously promoting the construction and production of energy investment projects is an important step to enhance the ability to guarantee energy production and alleviate the contradiction between energy supply and demand in China. The "2022 Energy Work Guidance" indicates that enhancing the ability to guarantee the bottom of coal and coal power, and constantly increase the exploration and development of oil and gas, and actively optimize the planning and construction of power transmission channels, is the "14th Five-Year Plan" period to protect China's energy security basic strategy. In the coming period, the number and scale of energy investment projects in China will continue to expand. In the current environment, how to scientifically assess the value of energy investment projects is an important issue that needs to be addressed in the decision-making process of energy investment projects. The real options valuation method is well recognized by the academic community because it better reflects the potential value of energy investment projects under management flexibility. However, for a long time, the study of whether and how the value of real options varies in energy investment projects has not received sufficient attention from scholars. Therefore, this thesis will explore and verify the existence of real option value in energy investment projects and analyze the formation and change law of its value in order to help investors effectively evaluate and manage the value of energy investment projects.

　　In order to integrate the real option idea more fully into the evaluation of energy investment projects, firstly, starting from the concept, characteristics and influencing factors of energy investment projects, based on the real option idea, the existence of real option value in energy investment projects and the types of real options embedded in the whole life of the projects are analyzed. Then, by combing the real option models constructed by scholars in the past five years to evaluate the value of energy investment projects, we analyze and summarize the common features of these models in order to establish the basic evaluation model of real options in energy investment projects and derive the critical price formula for optimal investment decision rules. Then, the Monte Carlo method is adopted to simulate the distribution of weekly energy prices in China from 2020 to 2022 to test the applicability of the energy price change model in order to guarantee the rationality of the basic evaluation model of real options established. After that, the NPV and real option value of DHZ mineral project in Shaanxi Province are solved through empirical study. The empirical results show that the real option value does exist in energy investment projects under uncertainty environment. Moreover, compared with the discounted cash flow method, the real option method can more conveniently and effectively help investors avoid risks, invest scientifically, and explore the potential value in energy investment projects. Finally, based on the three aspects of real option value distribution law, real option trigger conditions and real option method, specific energy investment project management strategies are proposed in order to provide investors with a reasonable and convenient decision-making method and guidance.

[1]Black F,Scholes M S. The Pricing of Options and Corporate Liabilities[J].Journal of Political Economy,1973,81(3):637-654.

[2]Merton R C. The Theory of Rational Option Pricing[J].The Bell Journal of Economics and Management Science,1973,4(1):141-183.

[3]Amram M,Kulatilaka N. Real Options: Managing Strategic Investment in an Uncertain World[J].Journal of Banking & Finance,1998,24(5):828-829.

[4]Myers S C. Determinants of corporate borrowing[J].Journal of Financial Economics,1977,5(2):147-175.

[5]Trigeogris L. A conceptua options framework for capital budgeting[J].Advances in Futures and Options Reseaerh,1988(3):145-167.

[6]Dixit A,Pindyck R S. Investment under uncertainty[M].Princeton University Press,1994.

[7]陈小悦,杨潜林. 实物期权的分析与估值[J].系统工程理论方法应用,1998(03):6-9.

[8]张志强,张彩玲. 论公司战略的财务评估[J].财经问题研究,2000(04):41-45.

[9]方曙,武振业. 实物期权理论及其在企业决策中的应用[J].科学管理研究,2001(02):42-46.

[10]Cox J C,Ross S A,Rubinstein M. Option pricing: A simplified approach[J].Journal of Financial Economics,1979,7(3):229-263.

[11]Sabour S. Decision making with option pricing and dynamic programming: development and application[J].Resources Policy,1999,25(4):257-264.

[12]Heston S L,Nandi S. A closed-form GARCH option pricing model[J].SSRN Electronic Journal,1998,13(3):585-625.

[13]Sheen J N. Real Option Analysis for Renewable Energy Investment Under Uncertainty[J].Lecture Notes in Electrical Engineering,2014(293):283-289.

[14]Xiong W,Zhang X. The Real Option Value of Renegotiation in Public–Private Partnerships[J].Journal of Construction Engineering and Management,2016,142(8):04016021.

[15]Rambaud S C,Ana María Sánchez Pérez. A mathematical approach to the deferment option of an investment project[J].Managerial and Decision Economics,2019,40(6):639-650.

[16]叶彬,刘敦楠,杨娜,刘明光,赵宁宁,王宝. 基于实物期权的增量配电网投资决策[J].电力系统自动化,2018,42(21):178-184.

[17]张高勋,秦春艳,曹茜. 基于实物期权的矿产资源采矿权定价模型及其实证[J].数理统计与管理,2018,37(03):509-519.

[18]王欣,刘蔚,李款款. 期权-博弈方法在产学研协同创新利益分配中的应用[J].科技管理研究,2018,38(05):211-217.

[19]陆海花. 基于正态云实物期权模型的项目投资决策研究[J].财会通讯,2021(02):114-118.

[20]Hahn D. External Benefits of Public Education Weisbrod,BA[J].Economic Journal,1965,75(298):409-412.

[21]Cheah C Y,Liu J. Valuing governmental support in infrastructure projects as real options using Monte Carlo simulation[J].Construction Management & Economics,2006,24(5):545-554.

[22]Sabine Fuss,Jana Szolgayova, Michael Obersteiner, Mykola Gusti. Investment under market and climate policy uncertainty[J].Applied Energy,2008,85(8):708-721.

[23]Sabine Fuss,Jana Szolgayová. Fuel price and technological uncertainty in a real options model for electricity planning[J].Applied Energy,2009,87(9):2938-2944.

[24]李明昕,唐俊,白云,马行达. 基于模糊Black-Scholes模型的螺纹钢期权定价[J].运筹与管理,2019,28(10):117-122.

[25]王以梁. “互联网+”创业项目的经济价值及风险分析[J].南通大学学报(社会科学版),2020,36(05):102-110.

[26]丁华,程琴. 运用实物期权法对林业碳汇项目的价值评估[J].东北林业大学学报,2020,48(05):139-143+147.

[27]伊长生,陈兆明,陈宏晨,洪慧慧. 基于实物期权的既有建筑节能改造投资策略分析[J].工程管理学报,2022,36(01):53-58.

[28]Wirl F. Energy conservation, expectations and uncertainty[J].Energy Economics,2008,30(4):1957-1972.

[29]Afik Z,Zwilling E. Assessment of rapid growth ventures, an extension of Schwartz and Moon model[J].Managerial and Decision Economics,2018,39(1):107-114.

[30]徐利飞. 实物期权法在稀土资源开发投资决策中的应用[J].财会通讯, 2016(8):6-9.

[31]郑征,朱武祥. 模糊实物期权框架下初创企业估值[J].清华大学学报(自然科学版),2019,59(01):73-84.

[32]屈晓娟,张华. 创业板上市公司价值评估模型构建研究——基于灰色预测模型与实物期权的结合[J].财会通讯,2019(05):98-103.

[33]郝军章,吴优,张印鹏. 工业技术创新投资决策研究——基于实物期权方法[J].技术经济与管理研究,2020(07):27-32.

[34]王治,李馨岚. 互联网企业价值评估模型比较研究[J].财经理论与实践,2021,42(05):75-82.

[35]Michael J B,Eduardo S S. Evaluating Natural Resource Investments[J].The Journal of Business,1985,58(2):135-157.

[36]Wilkinson. Options in the project of Drilling [J].The American Economic Review,2007,6(4):363-370．

[37]Martinez-Cesena E A,Mutale J. Wind Power Projects Planning Considering Real Options for the Wind Resource Assessment[J].Sustainable Energy,2012,3(1):158-166.

[38]Kroniger D,Madlener R. Hydrogen storage for wind parks: A real options evaluation for an optimal investment in more flexibility [J].Applied Energy,2014,136(31): 931-946.

[39]Inthanongsone I,Carsten D,Jan B,Phongpat S. Real options decision framework: Strategic operating policies for open pit mine planning[J].Resources Policy,2016,47:142-153.

[40]公丕芹,李昕旸. 碳交易机制下可再生能源投资价值与投资时机研究[J].中国人口·资源与环境,2017,27(3):22-29.

[41]崔传智,李荣涛,邴邵献,刘志宏,黄迎松,徐建鹏. 实物期权法在碳酸盐岩油藏滚动开发经济评价中的应用[J].中国矿业,2018,27(03):50-53.

[42]赵伟东,刘敦楠,牛东晓. 考量风险价值的微电网投资决策评估研究——基于实物期权模型的实证分析[J].价格理论与实践,2019(05):109-112.

[43]贺晓波,张硕,王冬梅,曾诗鸿. 基于实物期权定价方法的林业碳汇项目投资决策仿真研究[J].运筹与管理,2019,28(02):139-147.

[44]王玲,张金锁,邹绍辉. 序列投资下的石油勘探投资最优时机选择[J].中国管理科学,2020,28(10):54-64.

[45]刘璞,卢虎生,王路,崔开源,娄凯心. 稀土资源投资决策研究——以白云鄂博氧化钪为例[J].稀土,2021,42(04):148-158.

[46]赵振宇,马旭,包格日乐图. 实物期权理论下变电站工程分期建设投资决策研究[J].价格理论与实践,2021(03):91-95.

[47]杨晓萍,杨凡. 基于实物期权的风力发电侧储能投资决策[J].现代电力,2021,38(04):442-448.

[48]Tufano M P. When Are Real Options Exercised? An Empirical Study of Mine Closings[J].The Review of Financial Studies,2002,15(1):35-64.

[49]Dimitrakopoulos R G,Sabour S. Evaluating mine plans under uncertainty: Can the real options make a difference?[J].Resources Policy,2007,32(3):116-125.

[50]Amusan A R,Adinya I. Real Option Technique for an Assessment of the Itakpe Iron Ore Project[J].Journal of Physics: Conference Series,2021,1734(1):012047.

[51]Fedorov S,Hagspiel V,Lerdahl T. Real options approach for a staged field development with optional wells[J].Journal of Petroleum Science and Engineering,2021(205):108837.

[52]李彦磊. 复合实物期权模型在页岩气项目投资中的应用[J].会计之友,2019(20):107-112.

[53]王喜平,赵齐,谭锡崇,李艳梅,张宁宁. 基于模糊实物期权的燃煤电厂CCS投资决策研究[J].工业技术经济,2019,38(12):148-155.

[54]张凯艺,张潮. 基于项目的企业碳资产价值评估模型构建[J].财会通讯,2020(24):94-97.

[55]李庆,周艳丽. 光伏发电增值税优惠政策效应实物期权分析[J].科研管理,2020,41(01):234-243.

[56]苟军军,王蕾. 基于实物期权的水电站项目投资时机决策模型及应用[J].水电能源科学,2020,38(02):160-162+180.

[57]王秀芹,刘旸,张少波. PPP项目再融资收益分配的关键影响因素研究[J].天津大学学报(社会科学版),2021,23(05):414-422.

[58]曹先磊,贾小茹,单永娟,吴伟光. 基于实物期权的碳汇造林项目碳汇价值评估模型及应用[J].中南林业科技大学学报,2021,41(03):187-196.

[59]王鹏,鲁法典. 基于实物期权法的林业投资项目价值评估[J].西北林学院学报,2021,36(05):269-274.

[60]黄健柏,谭娜,钟美瑞. 基于过度自信的矿产资源开发实物期权决策模型[J].系统工程,2015,33(06):57-63.

[61]常洁. 碳排放权下限价格研究——基于实物期权模型的投资临界值分布的测算[J].价格理论与实践,2015(04):53-55.

[62]郑国姣,杨来科. 低碳经济背景下企业清洁技术投资最优化的实物期权分析[J].科技管理研究,2016,36(05):181-185.

[63]戴剑勇,任敏. 矿产资源序列投资决策模型分析[J].化工矿物与加工,2017,46(07):29-32.

[64]黄守军,余波,张宗益. 基于实物期权的分布式风电站投资策略研究[J].中国管理科学,2017,25(09):97-106.

[65]李力,朱磊,范英. 可再生能源配额机制下电力投资最优序列决策模型[J].管理评论,2019,31(09):37-46.

[66]Michael J. Brennan,Eduardo S. Schwartz. Evaluating Natural Resource Investments[J].The Journal of Business,1985,58(2):135-157.

[67]王喜莲. 陕西省煤炭价格的模拟与预测研究[J].管理学报,2008(05):682-684+702.

[68]邹绍辉,张金锁. 我国煤炭价格变动模型实证研究[J].煤炭学报,2010,35(03):525-528.

[69]李媛,魏晓平. 基于机制转换模型的煤炭价格预测分析[J].煤炭经济研究,2020,40(11):54-58.

[70]McDonald R L,Siegel D R. Investment and the valuation of firms when there is an option to shut down[J].International Economic Review,1985,26(2):331–349.

[71]Yiju M,Kevin S,Archie C,Gregor V. Multi-stage compound real options valuation in residential PV-Battery investment[J].Energy,2020(191):116537.

[72]Kuangyuan Zhang,Antonio N,Andrew N. The real option value of mining operations using mean-reverting commodity prices[J].Mineral Economics,2015,28(1-2):11-22.

[73]Gruszka J,Szwabiński J. Advanced strategies of portfolio management in the Heston market model[J].Physica A: Statistical Mechanics and its Applications,2021(574).125978.

[74]邱虹. 基于Heston模型的能源商品定价机制研究[J].南华大学学报(社会科学版),2018,19(01):82-87.

[75]刘维泉. 国际碳排放期权套期保值分析:以EU ETS为例[J].软科学,2013,27(04):38-44.

[76]金浩,丁正生,高奎. 基于跳扩散过程煤炭价格的波动特征研究[J].技术与创新管理,2018,39(05):584-587+624.

[77]王立锋,刘志鹏,安志远. 环渤海动力煤价格指数编制及运行情况分析[J].中国煤炭,2011,37(05):10-14+18.