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
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摘要
文章针对林业碳汇项目投资决策的复杂性、动态性和不确定性过程,利用林业—碳汇共同经营决策模型计算林业碳汇项目在投资期内的期望价值,采用实物期权定价方法对不同阶段不同策略下的林业碳汇项目价值进行评估,同时提出了多主体仿真建模方法,利用Net Logo仿真软件对林业碳汇项目投资决策过程进行动态模拟。仿真系统中涉及到的主体有林地、CO2和投资者,投资者主要是作为观察者的身份,在不同阶段会做出不同的投资策略。模拟仿真三种不同状态下投资者的决策变化:一是传统林业投资动态模拟,不包含碳汇和期权因素动态模拟;二是引入碳汇市场后的林业投资动态模拟;三是引入碳汇市场和期权后林业投资动态模拟。Net Logo仿真分析结果表明引入碳汇市场可以提高投资者的收益并改变投资者的经营策略,同时引入期权,不仅增加了投资者的积极性而进行扩张投资,还可以更好地发挥林木碳汇功能,体现林业的生态价值及经济价值。
Aiming at the complexity,dynamic and uncertainty process of the forestry carbon sequestration project,the paper applies the real option pricing model to assess the value of the forestry carbon sequestration project under the different stages based on the Factory-Carbon Sequestration Model which is used to calculate the forestry initial value. The paper puts forward the Multi-Agent Modeling and Simulation method and uses the complexity system simulation software NetLogo. The agents involved in the simulation project are Forest land,CO2 and investor. The investor makes different investment strategies during the different periods and conditions as an observer. There are three conditions in the simulation which show the changes of the investment strategies under the different simulation processes: the first is the traditional forestry investment simulation without the carbon sequestration trading market and options factors,the second simulation introduces the carbon sequestration market to the forestry investment project and the third simulation introduces the carbon sequestration market and options to the forestry investment project. The experiment results show that the investor would change management strategies and make more benefit if the carbon sequestration trading can be introduced to the market,and at the same time the introduction of options can not only increase the investor's enthusiasm that encourage investor expand investment,but also make forestry carbon sequestration play a better role in the forestry project and the ecologic value project.
Aiming at the complexity,dynamic and uncertainty process of the forestry carbon sequestration project,the paper applies the real option pricing model to assess the value of the forestry carbon sequestration project under the different stages based on the Factory-Carbon Sequestration Model which is used to calculate the forestry initial value. The paper puts forward the Multi-Agent Modeling and Simulation method and uses the complexity system simulation software NetLogo. The agents involved in the simulation project are Forest land,CO2 and investor. The investor makes different investment strategies during the different periods and conditions as an observer. There are three conditions in the simulation which show the changes of the investment strategies under the different simulation processes: the first is the traditional forestry investment simulation without the carbon sequestration trading market and options factors,the second simulation introduces the carbon sequestration market to the forestry investment project and the third simulation introduces the carbon sequestration market and options to the forestry investment project. The experiment results show that the investor would change management strategies and make more benefit if the carbon sequestration trading can be introduced to the market,and at the same time the introduction of options can not only increase the investor's enthusiasm that encourage investor expand investment,but also make forestry carbon sequestration play a better role in the forestry project and the ecologic value project.
引文
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[13]马永红,张帆.转移企业结网策略、网络结构与知识水平—基于环境不确定性视角[J].中国管理科学,2017,25(2):187-196.
[14] Banitz T,Gras A,Ginovart M. Individual-based modeling of soil organic matter in Net Logo:transparent,userfriendly,and open[J]. Environmental Modelling&Software,2015,71:39-45.
[15]宋楠,付举磊,鲍勤,乔晗.基于无标度网络的恐怖信息传播与最优应对策略[J].系统工程理论与实践,2015,35(3):630-640.
[16]杨建梅,乐建兵.基于产业集群的企业重点投资地区决策的仿真[J].管理工程学报,2005(2):146-149.
[17]郑君君,何鸿勇,张平.基于无标度网络与观点传播动力学的股权拍卖机制设计与仿真研究[J].系统工程理论与实践,2015,35(8):2044-2053.
[18]陈则生.杉木人工林经济成熟龄的研究[J].林业经济问题,2010,30(1):22-26.
[19]朱臻,沈月琴,白江迪.南方集体林区林农的风险态度与碳汇供给决策:一个来自浙江的风险偏好实验[J].中国软科学,2015,7:148-157.
[20] Margret Kthke, Matthias Dieter. Effects of carbon sequestration rewards on forest management:an empirical application of adjusted faustmann formulae[J]. Forest Policy and Economics,2010,12:589-597.
[2]熊中楷,张盼,郭年.供应链中碳税和消费者环保意识对碳排放影响[J].系统工程理论与实践,2014,39(9):2245-2252.
[3] Zou Limei,Chen Wenbin. Legal regulation of forestry carbon sequestration transaction in China[J]. Advanced Materials Research,2009,113-116(10):980-984.
[4]孔凡斌.林业应对全球气候变化问题研究进展及我国政策机制研究方向[J].农业经济问题,2010,7:105-109.
[5] Stainback G A,Janaki R A. Economic analysis of slash pine forest carbon sequestration in the southern U. S.[J]. Journal of Forest Economics, 2002, 8(2):105-117.
[6] Newell R G,Stavins R N. Climate change and forest sinks:factors affecting the costs of carbon sequestration[J]. Journal of Environmental Economics and Management,2000,40(3):211-235.
[7]杨春鹏,吴冲锋,吴国富.实物期权中放弃期权与增长期权的相互影响研究[J].系统工程理论与实践,2005,1:27-31.
[8]扈文秀,甄士民,樊宏社.平行复合实物期权的定价研究[J].系统工程理论与实践,2006,11:26-33.
[9]郭菊娥,熊洁,孙艳.基于创业板上市流程的企业上市价值[J].系统工程理论与实践,2011. 31(4):643-649.
[10]贺晓波,王冬梅,曾诗鸿.附碳汇收益的林业投资项目价值评估基于实物期权定价理论[J].中国管理科学,2017,25(3):39-47.
[11] Mele F D,Guillen G,Espuna A,et al. An agent-based approach for supply chain retrofitting under uncertainty[J]. Computers and Chemical Engineering,2007,31(5):722-735.
[12] Monticino M,Acevedo M,Callicott B,et al. Coupled human and natural systems:a multi-agent-based approach[J]. Environmental Modeling&Software,2007,22(5):656-663.
[13]马永红,张帆.转移企业结网策略、网络结构与知识水平—基于环境不确定性视角[J].中国管理科学,2017,25(2):187-196.
[14] Banitz T,Gras A,Ginovart M. Individual-based modeling of soil organic matter in Net Logo:transparent,userfriendly,and open[J]. Environmental Modelling&Software,2015,71:39-45.
[15]宋楠,付举磊,鲍勤,乔晗.基于无标度网络的恐怖信息传播与最优应对策略[J].系统工程理论与实践,2015,35(3):630-640.
[16]杨建梅,乐建兵.基于产业集群的企业重点投资地区决策的仿真[J].管理工程学报,2005(2):146-149.
[17]郑君君,何鸿勇,张平.基于无标度网络与观点传播动力学的股权拍卖机制设计与仿真研究[J].系统工程理论与实践,2015,35(8):2044-2053.
[18]陈则生.杉木人工林经济成熟龄的研究[J].林业经济问题,2010,30(1):22-26.
[19]朱臻,沈月琴,白江迪.南方集体林区林农的风险态度与碳汇供给决策:一个来自浙江的风险偏好实验[J].中国软科学,2015,7:148-157.
[20] Margret Kthke, Matthias Dieter. Effects of carbon sequestration rewards on forest management:an empirical application of adjusted faustmann formulae[J]. Forest Policy and Economics,2010,12:589-597.