| 引用本文: | 丁乐群,徐 越,刘 琰,王宇拓,韩 强.基于多阶段复合实物期权的风力发电项目投资决策[J].电力自动化设备,2012,32(12): |
| DING Lequn,XU Yue,LIU Yan,WANG Yutuo,HAN Qiang.Investment decision-making based on multi-stage compound real options for wind power generation[J].Electric Power Automation Equipment,2012,32(12): |
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| 摘要: |
| 在电力市场环境下，建立风力发电项目多阶段、多不确定因素的复合实物期权决策框架。根据风力发电项目投资过程中存在的不确定因素的特征，分别建立发电量、上网电价、低碳收益的随机变化模型；通过使用蒙特卡罗模拟法和二叉树方法，提出求解多阶段、多不确定因素的风力发电项目的投资决策的模型和求解步骤。通过实例对所提方法实现步骤进行了说明，并将所提方法与净现值（NPV）法进行了对比，结果证明了所提方法的优越性。 |
| 关键词: 风电 复合期权 投资 二叉树 蒙特卡罗法 决策 |
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| Investment decision-making based on multi-stage compound real options for wind power generation |
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DING Lequn, XU Yue, LIU Yan, WANG Yutuo, HAN Qiang
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Department of Economy and Management，Northeast Dianli University，Jilin 132012，China
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| Abstract: |
| A multi-stage decision-making framework with compound real options is set for a wind farm project with multiple uncertain factors in the electricity market environment. The random changing models are established for uncertain factors of wind power generation investment：annual power production，electricity price and low-carbon benefits. The investment decision-making model using Monte Carlo simulation and the binomial tree method is proposed for the multi-stage wind farm with multiple uncertain factors. The solving steps of the proposed model are illustrated with an example and results are compared with those by NPV method. Results validate the excellence of the proposed method. |
| Key words: wind power compound options investments binomial tree Monte Carlo methods decision making |
