基于实物期权的中国光伏发电项目投资评价

针对中国光伏发电的实际,建立基于实物期权的光伏发电项目投资评价模型,考虑市场条件、技术条件以及上网电价政策的不确定性,应用最小二乘蒙特卡洛模拟方法求解。分析中国光伏发电项目的投资价值与最优投资时间,通过灵敏度分析,探讨市场变化与技术变化对投资价值与最优投资时间的影响。研究表明:中国现在的光伏发电投资环境不足以吸引投资者的即刻投资;非可再生能源发电成本波动性的提高会增加光伏发电项目投资价值,但会推后项目的最优投资时间;技术变化漂移率的提升可提高光伏发电项目投资价值,而技术变化的波动率则降低光伏发电项目投资价值。因此,国家应该一方面提高电价补贴,增加研发投入;另一方面维护光伏发电市场条件和技术发展的稳定。

Evaluation of Chinese Photovoltaic Power Generation Projects Investment Based on Real Option

According to the basic situation of photovoltaic power generation in our country, this paper establishes an investment evaluation model of the photovoltaic power generation projects. The uncertainties of non-renewable cost, investment cost, and price policy of solar PV power generation were all considered in this model. Then the model is solved by Least Squares Monte Carlo simulation method. Using this model, this paper analyzes the investment value, delay option value, and the optimal investment time of China's photovoltaic power generation project at present situation. This paper also examines the effect of market variables, technology progress, and policy on these two indicators. The results show the current investment environment is not positive enough to attract investment immediately. The rising of non-renewable energy power generation cost volatility will increase investment value of solar photovoltaic power generation project, but the optimal investment time would be postponed. The rising of technological change drift rate will increase investment value of solar photovoltaic power generation project, and rising of technological change volatility will reduce investment value of solar photovoltaic power generation project. Therefore, the Chinese government should increase subsidy and R&D input as well as maintain the stability of market condition and technology progress to stimulate investment and promote the development of the solar PV power generation in China.