基于实物期权的既有建筑节能改造投资策略分析

针对能源价格波动服从均值回归过程的特征，构建实物期权模型研究既有建筑节能改造的最优投资策略。采用数值方法定量分析节能改造项目的实物期权价值和最优投资阈值，并结合上海某住宅小区的节能改造案例探讨不确定参数的变化对投资阈值的影响。研究发现:当投资阈值高于能源价格时，投资主体会选择等待来降低风险；在能源价格波动率大、投资成本高或者无风险利率比较高时，投资主体会选择等待观望，规避风险。

An Analysis on Investment Strategies for Energy Transformation ofExisting Buildings Based on Real Options

Considering the characteristic that energy price fluctuation obeys the mean reversion process， a novel real options modelis proposed to analyze the optimal investment strategies for energy transformation of existing buildings. The real option value andoptimal investment threshold of energy transformation are analysed quantitatively by the mathematical derivation. Furthermore， theimpact of uncertain parameters on investment threshold is discussed based on a case of energy transformation in a residentialcommunity in Shanghai. The results show that when the investment threshold is higher than the energy price, it is not a suitableopportunity to invest in energy transition projects. Furthermore， when the energy price volatility is high， the cost of energytransformation investment is large， or the risk-free interest rate is relatively high， investors will adopt a wait-and-see attitude to avoidrisks