基于实物期权的燃煤电站CCS投资决策研究

考虑碳交易价格、燃料价格、投资成本及政府补贴等不确定性因素，基于实物期权理论构建了燃煤电站碳捕获与储存（carbon capture and storage，CCS）投资决策的四叉树模型，通过算例分析了模型的求解过程，证实了实物期权方法比传统的净现值（NPV）方法能更准确地评估CCS的投资价值；进一步研究了政策补贴对CCS投资决策的影响，并计算出不同政策补贴系数下碳交易价格的投资临界值。结果表明，政策补贴越高则碳价格临界值越低，当政府提供全额补贴和不提供补贴时，碳交易临界价格分别为103.56元/t和217.95元/t。这意味着在当前市场环境下，电站CCS投资会导致亏损。上述结论对燃煤电站的CCS投资决策提供了理论依据。

Study on CCS Investment Decision-making Based on Real Options for Coal-fired Power Plant

Based on the theory of real options, this paper establishes a quad-tree model that can be used to evaluate the CCS investment of coal-fired power plant. The proposed model considers four uncertain factors, including carbon prices, fossil fuel prices, investment cost and government subsidies. The solving steps of the proposed model are illustrated with an example in the paper. The results validate the preciseness of the real options approach compared with the conventional NPV method. Then, the influence of different government subsidy coefficients on decision-making is analyzed, and the critical carbon price under different government subsidies for CCS investment is calculated. The results show that the government subsidies affect the value of investment option and the optimal investment timing. It is suggested that the coal-fired power plant should ignore the subsides in current market conditions and not be invested before 2021. The conclusion provides a theoretical foundation for the CCS investment of coal-fired power plant.