本文關鍵詞：期權定價模型在碳排放權評估中的應用研究　出處：《北京交通大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 期權定價模型 碳排放權 評估

【摘要】：環保的重要性和緊迫性隨著社會的發展越來越顯現出來,每個國家都在通過不斷的環保措施控制環境污染行為的發展而采取行動。因為一系列的環境污染造成的經濟問題日益顯現,很多學者把碳排放、碳排放權等作為研究的對象。通過對傳統評估方法的分析,本文認為,運用它們來評估我國碳排放權價值的條件并不十分成熟,同時也無法準確體現該資產的完整價值,評估結果必然會不夠準確。而結合碳排放權的價值特征來看,碳排放權作為一種權利,本身就有著一定的選擇性(行使權利或者不行使)。而且這種選擇的靈活性配合上碳排放權價值因企業效率而異、易于部分轉讓這些特點,正是企業獲利、資產增值的關鍵點。基于這些特點,運用期權定價的方法來評估碳排放權可以更全面的衡量碳排放權的價值。 本文首先闡明了研究的背景、目的和意義、研究的內容、方法和思路,然后進行了文獻回顧,分析研究了碳排放權相關的重要概念、碳排放權交易相關理論基礎、碳排放權價值的評估、無形資產評估的方法,找到本文研究的出發點和理論基礎。本文進行了碳排放權評估方法的比較與選擇,充分考慮了碳排放權的資產性質和價值特征,對應用市場法、收益法、成本法評估碳排放權進行了技術分析,提出應用期權定價法評估碳排放權的嘗試。本文應用碳排放權的二項式模型以深圳能源(電力企業)為例進行碳排放權期權價值評估。 文章結合評估方法的選取標準,詳細論述了評估方法的選取過程,并最終采用了期權評估方法來評估碳排放權。因為期權評估的最大優勢就在于它考慮了選擇性的價值,而選擇性又是碳排放權的最大特點。正是由于這種選擇性,碳排放權才能發揮經濟中的調節作用,使得資源得到優化配置。文章的核心部分則是對碳排放權的期權進行詳細分析并確定其價值。筆者為了突出該方法的可操作性,選擇了電力企業進行說明。文章考慮了碳排放權期權的12種情況,并利用了期權定價模型以及影子價格確定了相應的期權價值。 最后,文章把期權定價方法和成本法分別對深圳能源碳排放權評估的結果進行了分析,通過比較得出用成本法計算得到的碳排放權價值要遠小于用期權定價方法得到的碳排放權價值,它只能作為碳排放權估值的下限,這就更加說明了用期權定價方法對碳排放權進行評估的優越性。
[Abstract]:The importance and urgency of environmental protection with the development of society increasingly apparent, each country in the development of environmental pollution control behavior through environmental protection measures constantly and take action. Because of the economic problems caused by environmental pollution has become increasingly prominent, many scholars put carbon emissions, such as carbon emissions as the research object through the analysis. The traditional evaluation method, this paper argues that using them to evaluate China's carbon emissions value conditions is not very mature, but also cannot accurately reflect the full value of the assets, evaluation results will not accurately enough. And combined with the value characteristics of carbon emissions, carbon emissions as a right in itself there is a selective (or not to exercise the right to choose and this flexibility). With the value of carbon emission permits for enterprise efficiency varies, easy to transfer these features, Based on these characteristics, the option pricing method to evaluate carbon emissions permits a more comprehensive measure of the value of carbon emissions.
This paper firstly expounds the research background, purpose and significance, research contents, methods and ideas, and then conducted a review of the literature, analysis of the carbon emissions related important concepts, theories related to carbon emissions trading, carbon emissions evaluation value, the evaluation method of intangible assets, find the starting point of this study and the theoretical basis of this paper. The comparison and selection of evaluation methods of carbon emissions, give full consideration to the characteristics of asset quality and the value of carbon emissions, the application of the market method, income method, cost assessment of carbon emissions through technical analysis, put forward using option pricing method to evaluate carbon emissions. In this paper, binomial model the application of carbon emissions in Shenzhen energy (power enterprises) as an example to evaluate the carbon emission option value.
Based on the selection criteria of assessment methods, discusses the process of the selection of evaluation methods, and finally adopts the option method to evaluate carbon emissions. Because the biggest advantage of option assessment is that it consider the selective value, while the selectivity is the biggest characteristic of carbon emissions. It is because of this selectivity, carbon emission right to play a regulatory role in the economy, the optimal allocation of resources. The core part of the article is the detailed analysis of the carbon emissions of the options and determine its value. The author in order to highlight the feasibility of this method, choose the electric power enterprises. This paper considers 12 cases of carbon emission right option. And using the option pricing model and shadow pricing of the option value accordingly.
Finally, the option pricing method and cost method of Shenzhen energy carbon emissions assessment results were analyzed by comparing the calculation result with the cost of carbon emissions is much smaller than the value obtained by using option pricing method to carbon emission value, it can only be used as the lower limit of carbon emissions valuation, it is more to illustrate the performance of the carbon emissions were evaluated with the option pricing method.

【學位授予單位】：北京交通大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F830.42;F832.51

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本文編號：1370972