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Valuing investment decisions of renewable energy projects considering changing volatility

机译：考虑波动率的可再生能源项目的投资决策重视投资决策

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摘要

Volatility is an important parameter when evaluating investments using the real options method. For renewable energy investments, the volatility of cash flow continuously changes, because as new information and knowledge are gathered, there is less foreseen variation. This paper proposes an extended recombining trinomial tree model, where the changing volatility is used to generate transition probabilities. The changing volatility is generated using a consolidation process where multiple random variables, including the market price of electricity, carbon price, and lending rate, are integrated into a low-dimension stochastic process. A two-factor learning curve is used to model the changes of investment cost. We apply the proposed model to analyze solar photovoltaic (PV) power generation investment in China. The results show volatility with changing feature. Compared with constant volatility, changing volatility may advance investment decisions and change the project value. Complete grid parity policy in the solar PV industry is infeasible because the opportunity cost brought by the option of delaying cannot be offset. The changing volatility may produce a lower and equally effective subsidy level compared with constant volatility. A carbon emission trading scheme is helpful in advancing investments in renewable energy, which is reflected in improvements in project value, advancements in investment decisions, and reductions in the required subsidy level. (C) 2020 Elsevier B.V. All rights reserved.
机译：在使用真实选项方法评估投资时，波动性是一个重要的参数。对于可再生能源投资，现金流量的波动不断变化，因为随着新的信息和知识被收集，预计变化较少。本文提出了一种扩展的重组三语树模型，其中改变波动率用于产生转换概率。使用多个随机变量，包括电力，碳价格和贷款利率的多个随机变量，将变化的波动率产生变化的挥发性，以纳入低维随机过程。两个因素学习曲线用于模拟投资成本的变化。我们应用拟议模型来分析中国太阳能光伏（PV）发电投资。结果表明了具有变化功能的波动。与恒定波动相比，变化波动率可能会提高投资决策并改变项目价值。太阳能光伏产业的完整网格奇偶校验政策是不可行的，因为延迟选择带来的机会成本不能抵消。与恒定波动率相比，变化的波动率可能产生较低和同样有效的补贴水平。碳排放交易计划有助于推动可再生能源的投资，这反映在项目价值，投资决策方面的改进，并减少所需补贴水平。 （c）2020 Elsevier B.v.保留所有权利。

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  • 来源
    《Energy economics》 |2020年第10期|104954.1-104954.14|共14页
  • 作者

    Zhang Mingming; Liu Liyun; Wang Qunwei; Zhou Dequn;

  • 作者单位

    China Univ Petr East China Coll Econ & Management Qingdao 266580 Peoples R China;

    China Univ Petr East China Coll Econ & Management Qingdao 266580 Peoples R China;

    Nanjing Univ Aeronaut & Astronaut Coll Econ & Management Nanjing 211106 Peoples R China;

    Nanjing Univ Aeronaut & Astronaut Coll Econ & Management Nanjing 211106 Peoples R China;

  • 收录信息 美国《科学引文索引》(SCI);美国《工程索引》(EI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Changing volatility; Consolidation process; Save-path rate; Project value; Grid parity;

    机译：变化波动性;整合过程;节省路径率;项目值;网格奇偶校验;

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