复合实物期权方法在风电项目投资决策中的应用

摘要

鉴于目前风电项目评价中一般采取传统的现金流贴现(DCF)方法,忽视了现实投资机会中战略经营的柔性价值,导致部分优质项目淘汰；而且当前学者们关于风电项目投资决策中这种柔性价值的研究,主要集中于风电项目投资机会中单个实物期权的模型和应用研究,但是现实中风电项目投资机会往往具有复合实物期权特性.从风电项目分期投资开发中复合实物期权特性分析着手,结合具体的风电项目实例,运用复合实物期权二叉树定价模型进行计算其投资价值,并同传统的DCF方法进行投资决策比较分析.可以看出,复合实物期权二叉树分析方法能够有效评估项目灵活性的价值,为经营灵活性和战略适应性进行定价.%The traditional discounted current flow (DCF) method currently used in the evaluation of the wind power project overlooks the flexible value of strategic management in the decision-making in real investment opportunities, which results in the rejection of some valuable projects. Meanwhile, academic research on these flexible values focused mostly on the single real option model and its application. Nevertheless, wind power investment projects, in reality, usually are of the compound real option rather than the single option. To address the research gap, the current paper starts from the analysis on the characteristics of the compound real option during the phased development of the wind project and takes the practical cases into consideration. The study uses the binomial tree pricing model of the compound real option to appraise the investment value and then compares the decision made with the traditional DCF method. The result demonstrates that the compound real option is able to effectively evaluate the flexible value of the project and also price the flexibility of management and the adaptability of strategy.