離岸風力發電開發之實質選擇權評價

Evaluation of The Real Options of Off-Shore Wind Power Investment Project

鄭建廷(Kin-Teng Cheang)

指導教授 ： 葉怡成

淡江大學/工學院/土木工程學系碩士班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00882

摘要

隨著環境變化和能源短缺的現象，加速了再生能源之開發與利用。目前台灣陸域風電發展已漸趨緩，近年亦開始朝離岸風力發展。傳統評估方法對於投入成本大、不確定性高、生命週期長之離岸風電並不適用，因此有必要引入實質選擇權評價法進行評估。由於過去方法的缺失，本研究採用以下假設作為評估台灣離岸風電開發專案之基礎：(1)投資與營運支出為一個隨機變數；(2)投資與營運支出採用依照學習曲線降低之成本，為一期望值具趨勢之隨機變數；(3)風電效益為一期望值具趨勢之隨機變數；(4)前述兩個隨機變數間具有相關性。為求解此一模型，本研究採用二項式選擇權定價模型與蒙特卡羅模擬混合法求解，並建立四個劇本，對擴張淨現值之各參數作敏感性分析，最後估計選擇權價值的分佈。研究結果顯示：(1) 敏感性分析發現，當投資機會總效益之現值、波動率、趨勢係數及資金成本率、存續期間越大時，擴張NPV越大；反之，當投資機會總支出之現值、波動率、趨勢係數、相關係數越大時，擴張NPV越小。(2) 選擇權價值的分佈分析發現，當總效益、總支出具有利趨勢或負相關時，擴張淨現值的分佈範圍皆相對集中，顯示投資風險較小；當總效益、總支出無趨勢或低波動時，擴張淨現值的分佈範圍相當寬，且中位數皆低於平均值，低機率的高擴張淨現值對擴張淨現值的貢獻大，顯示投資風險大。

關鍵字

離岸風力發電開發 ； 實質選擇權 ； 二項式選擇權定價模型 ； 蒙特卡羅模擬

並列摘要

The development and utilization of renewable energy have accelerated due to environmental changes and energy shortages. In Taiwan, the development of wind power in land area has gradually declined, but the development of offshore wind power has also begun in recent years. Traditional evaluation methods do not apply to offshore wind power, which is characterized by large investment, high uncertainty, and long life cycle. Therefore, the real options valuation method needs to be introduced. Given the limitations of traditional methods, this study used the following assumptions as bases for the evaluation of Taiwan’s offshore wind power development projects: (1) the investment and operating expenditure is a random variable; (2) the investment and operating expenditure is the cost reduced according to the learning curve, which is a random variable with the expected value showing a trend; (3) the benefit of wind power is a random variable with the expected value showing a trend; (4) a correlation exists between the two random variables mentioned previously. To solve this model, this study used the binomial options pricing model and the hybrid Monte Carlo simulation method. Four scenarios were then created to conduct the sensitivity analysis on the parameters related to the expanded net present value (NPV). Finally, the distribution of the options values was estimated. The study results are given as follows: (1) the sensitivity analysis shows that the greater the present value, volatility, and trend coefficient of the total investment opportunity benefit as well as the cost ratio and duration of the capital, the larger the expanded NPV; vice versa, the greater the present value, volatility, trend coefficient, and correlation coefficient of the total investment opportunity expenditure, the smaller the expanded NPV. (2) The distribution analysis of the options values shows that if the total benefit and total expenditure have a favorable trend or a negative correlation, then the distribution of the expanded NPV was relatively concentrated, indicating a small investment risk. However, if the total benefit and total expenditure showed no trend or have low volatility, then the distribution of the expanded NPV was quite wide, the medians were all lower than the average, and the highly expanded NPV with a low probability had a large contribution to the expanded NPV, indicating a large investment risk.

並列關鍵字

Off-Shore Wind Power Investment ； real option approach ； Binomial Options Pricing Model (BOPM) ； Mote Carlo Simulation

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