基于实物期权的既有建筑节能改造项目投资评价
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摘要
研究不确定条件下分阶段的既有建筑节能改造项目投资评价方法,是顺应全面建筑节能改造形势,体现投资灵活性,确保既有建筑节能改造市场良性运行的重要内容。在对既有建筑节能改造项目投资的期权特性进行深入分析的基础上,考虑到项目投资价格具有非连续性,采用二叉树定价法计算不确定条件下项目的延迟期权与扩张期权的复合价值,对传统净现值方法计算的项目价值进行补充,较为全面地反映既有建筑节能改造项目真实的投资收益,为既有建筑节能改造项目投资评价提供了新的思路。对波动率的敏感性分析表明,项目复合期权价值随着不确定性增加而提高,适时地做出追加投资的决策将具有更为显著的投资效益。
In order to follow the overall building energy-saving situation in China and reflect the investment rationality and flexibility, it is in urgent need to investigate the investment evaluation methods of building energy efficiency retrofitting(BEER) projects under uncertainty to guarantee a sound operation in energy saving market. In this paper, based upon an in-depth analysis of BEER projects' option characteristics, considering the discontinuity of BEER projects' value, the binary tree pricing model is used to evaluate the composite value of a delay option and an expansion option of these projects under uncertainty to supplement their NPV and achieve a more comprehensive estimated investment income. Sensitivity analysis of volatility further shows that the composite option value is increasing with enhancing uncertainty and timely additional investment will have more significant returns in BEER projects. The proposed method and the analyzing results will provide a new tool in investment evaluation of BEER projects in China.
In order to follow the overall building energy-saving situation in China and reflect the investment rationality and flexibility, it is in urgent need to investigate the investment evaluation methods of building energy efficiency retrofitting(BEER) projects under uncertainty to guarantee a sound operation in energy saving market. In this paper, based upon an in-depth analysis of BEER projects' option characteristics, considering the discontinuity of BEER projects' value, the binary tree pricing model is used to evaluate the composite value of a delay option and an expansion option of these projects under uncertainty to supplement their NPV and achieve a more comprehensive estimated investment income. Sensitivity analysis of volatility further shows that the composite option value is increasing with enhancing uncertainty and timely additional investment will have more significant returns in BEER projects. The proposed method and the analyzing results will provide a new tool in investment evaluation of BEER projects in China.
引文
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[14]李强.合同能源管理在集中供热节能改造中的研究与应用[D].北京:北京建筑工程学院,2012.
[2]Kanapeckiene L.Method and system for multi-attribute market value assessment in analysis of construction and retrofit projects[J].Expert Systems with Applications,2011,(38):14196-14207.
[3]Ibn-Mohammed T,Greenough R,Taylor S,et al.Integrating economic considerations with operational and embodied emissions into a decision support system for the optimal ranking of building retro?t options[J].Building and Environment,2014,(72):82-101.
[4]Chidiaca S E,Catania E J C,Morofsky E,et al.A screening methodology for implementing cost effective energy retrofit measures in Canadian office buildings[J].Energy and Buildings,2011,(43):614-620.
[5]Kumbaroglu G,Madlener R.Evaluation of economically optimal retrofit investment options for energy savings in buildings[J].Energy and Buildings,2012,(49):327-334.
[6]Menassa C.Evaluating sustainable retrofits in existing buildings under uncertainty[J].Energy and Buildings,2011,(43):3576–3583.
[7]Menassa C,Ortiz-Vega W.Uncertainty in refurbishment investment[G]//Pacheco F.Nearly Zero Energy Building Refurbishment.London:Springer-Verlag,2013:143-175.
[8]李明海,许红升,李迪.既有办公建筑节能改造技术经济效果分析研究[J].建筑节能,2009,37(6):62-64.
[9]刘玉明,刘长滨.采暖区既有建筑节能改造外部性分析及应用[J].同济大学学报:自然科学版,2009,(11):1521-1525.
[10]杨滢.公共建筑照明工程EMC模式动态经济效益分析[J].建材世界,2014,35(4):144-147.
[11]张智权,皇甫艺.公共建筑节能改造重点城市工作进展与成效[J].建设科技,2014,(9):52-54.
[12]杨建坤.广州市公共建筑合同能源管理项目实施现状调查分析[J].广州建筑,2014,42(4):35-37.
[13]王军.实物期权定价方法研究[D].成都:西南交通大学,2004.
[14]李强.合同能源管理在集中供热节能改造中的研究与应用[D].北京:北京建筑工程学院,2012.