价格与技术不确定条件下的发电商碳捕获投资模型及分析

碳捕获与储存技术是降低碳排放的有效方法之一。论文针对碳价和碳捕获技术不确定的情况,构建双重不确定条件下的碳捕获技术投资模型,并在模型求解基础上进行了数值仿真分析,其分析结果表明:1)碳价的波动性将延迟碳捕获技术投资,若碳价的波动性足够大,发电商会选择不投资;2)碳捕获技术进步也将延迟投资,但政策性补贴将抵消该投资延迟。

The Power Producer's Carbon Capture Investment Model and its Analysis under Price and Technology Uncertainties

In the 21st century,the emissions of greenhouse gases has brought serious threats to human being’s living environment.This growing concern has made carbon emission reduction an important topic in the international community.Because the energy industry is the main producer of carbon dioxide(CO2),understanding its carbon emission reduction strategy is of prime importance in the sustainable movement. Carbon capture and storage(CCS) investment is a major research field about carbon emission in power producers.This research area contains many uncertainties,such as technology uncertainty,carbon trade price uncertainty and the equilibrium uncertainty of power transaction market.At present,most literatures model the carbon capturing investment as an irreversible investment problem based on the real option theory,and generally consider only one kind of uncertainty.This paper presents an oligopoly power producer’s carbon capture investment model under CCS technology uncertainty and carbon trade price uncertainty,and investigates the impact of relevant parameters and policy-related investment subsidy on investment threshold based on the analysis and numerical simulation of the model. Recent literatures on carbon trade price in Europe show that CO2 trade price follows the Geometric Brownian motion.Based on the findings of these literatures,this paper assumes that CCS technology follows the Poisson process,presents an oligopoly power producer’s CCS investment value function,and obtains two variables partial differential equations with Bellman equation and Ito’s Lemma.By defining a new stochastic variable based on the ratio of carbon trade price to CCS investment triggered by CCS technology progress,we can obtain the analytic solutions of the investment value function.In addition,based on the value matching and smooth pasting conditions of the real option theory,we can obtain the oligopoly power producer’s CCS investment threshold conditions: invest when real carbon trade price is higher than the threshold,or else not invest.Many parameters,such as CO2 price volatility and CCS technology progress,can affect CCS investment threshold.Therefore,it is important to consider their potential effect on environmental policy. Third,we investigate the numerical solution of CCS investment threshold by using the Monte Carlo simulation sampling method and applying Matlab 2008.Empirical data are used in the test.The CCS investment threshold is stochastic due to the stochastic sample paths of two stochastic processes.In order to explore the actual parameter effect,we sample the threshold for 5000 times,construct the threshold’s statistic histograms,and examine the effect of several parameters,such as carbon trade price volatility rate and frequency parameter of CCS technology progress,on the investment threshold.Similarly,the power producers’ discounted profits and its statistic distribution are examined.Future research may want to discuss the effects of investment subsidy on CCS investment threshold and related statistic attributes. In conclusion,the carbon trade price volatility will delay CCS investment,and power producers will choose not to invest if the volatility is high.Although CCS technology progress will delay power producers’ CCS investment to some extent,proper policy-related subsidy can offset the delayed impact.