| 水期权及其定价模型——以南水北调东线为例 |
| |
| 引用本文： | 王慧敏,王慧,仇蕾,刘银,佟金萍.水期权及其定价模型——以南水北调东线为例[J].系统工程,2008,26(7). |
| |
| 作者姓名： | 王慧敏 王慧 仇蕾 刘银 佟金萍 |
| |
| 作者单位： | 河海大学,水文水资源与水利工程科学国家重点实验室,江苏,南京,210098;河海大学,管理科学研究所,江苏,南京,210098 |
| |
| 基金项目： | 国家社会科学基金，教育部高等学校博士学科点专项科研基金，江苏省高校研究生科技创新基金，国家重点实验室基金 |
| |
| 摘 要： | 建立水期权交易对于规避水资源供需风险、优化水资源配置和增加市场金融投资品种具有重要意义。本文根据中国的水情和水市场实际，对水期权的基本内涵和期权定价方法进行了初步研究。考虑到中国水权交易的特点，文中引入多次执行期权用于水资源供需风险的规避；对水期权的标的资产水价进行定量分析，建立基于市场机制下水资源供需缺口的水价模型，构建反映水价随机变动的均值回复模型；根据标的资产水价的波动趋势以及水期权的奇异性，运用动态规划方法进行期权定价；最后以南水北调东线为例进行实证分析，验证了该方法的可行性；在此基础上，详细论述了我国水期权交易的适用条件。
|
| 关 键 词： | 水期权 多次执行 动态规划 南水北调东线 |
Water Option and Its Pricing Model:A Case Study of Eastern Rout of South-to-North Water Transfers |
| |
| WANG Hui-min,WANG Hui,QIU Lei,LIU Yin,DONG Jin-ping.Water Option and Its Pricing Model:A Case Study of Eastern Rout of South-to-North Water Transfers[J].Systems Engineering,2008,26(7). |
| |
| Authors: | WANG Hui-min WANG Hui QIU Lei LIU Yin DONG Jin-ping |
| |
| Institution: | 1.State Key Laboratory of Hydrology-Water Resources and Hydraulic Engineering;Nanjing 210098;China;2.Institute of Management Science;HoHai University;China |
| |
| Abstract: | Water option exchange will play an important role in avoiding the risk of water supplying and demanding,optimizing water resources allocation and increasing financial products.According to the current situations of water market in China,this paper explores the meaning of water option and its pricing model.We introduce a multiple-execution option to avoid the risk of water supply and demand in China,and establish a stochastic model to determine water prices based on stochastic models of supply and demand,the... |
| |
| Keywords: | Water Option Multiple-exercise Dynamic Programming Method Eastern Rout of South-to-North Water Transfers |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
