基于复合实物期权的三代核电项目投资决策评价方法研究

针对三代核电项目投资决策评价问题,基于复合实物期权方法,提出了三代核电项目投资两阶段(技术创新投资阶段和工程实践阶段)实物期权模型,并分阶段给出期权定价模型表达式.此外,针对工程实践阶段复合实物期权,采用最小二乘蒙特卡洛模拟方法,提出了延迟期权、放弃期权和扩张期权等三类子期权的计算方法.对三代核电项目复合实物期权定价模型的研究表明,核电项目的不确定性能够为核电投资决策带来灵活性价值,并通过对灵活性价值的定量评估,为核电企业的投资决策提供数值依据.

Research on Evaluation of 3rd Generation Nuclear Power Project Investment Decision Based on Compound Real Option

A two-stage real option model was proposed for the 3rd generation nuclear power project investment evaluation based on compound real option approach. The two stages refer to the technological innovation investment stage and engineering practice stage. The expressions of the option pricing were given in the paper. In addition, the calculation methods for delaying option, abandoning option and expanding option were proposed based on the least squares Monte Carlo simulation in the engineering practice stage. The research on the compound real option pricing model shows that the uncertainty of nuclear power projects can bring flexibility value to the project. Through the quantitative assessment of this value, a numerical basis of the investment decisions can be provided to the nuclear power companies.