實質選擇權應用於水泥業者投資減碳設備

Carbon Reduction device Investment Decisions based on Real Option in Cement Industry

連躍峯(Yue-Feng Lian)

指導教授 ： 林正平

國立臺北科技大學/工程學院/土木與防災研究所/碩士(2012年)

摘要

近年來溫室氣體排放過量導致全球暖化、氣候變遷，已成為全球注視之問題。二氧化碳捕捉與封存（Carbon Captureand Storage, CCS）為世界公認較為有效減碳之技術，從捕捉到封存的過程中能達到趨近於百分之百的減排量。我國處於開發中國家，整體排碳量主要以工業部門為主，在營建產業中水泥業所產生之排碳量位居相關產業之冠，因此水泥業投資CCS對於達到有效減碳顯得更為重要。然而面臨投資CCS須具較高的成本，同時國內政策與制度也尚未完善，使投資計畫面臨了高度的不確定性，故本研究將利用實值選擇權法應用於水泥業CCS投資決策中，以反映不確定性對計畫所帶來之價值。
首先將水泥業投資CCS計畫進行成本架構分析，並整理出可能影響投資計畫之因子，進而計算出整體投資計畫之淨現值。再者，根據國內狀況，建立延遲投資選擇權評價模式，探討不確定因素所影響之計畫現金流，使投資計畫價值提高，提出在選擇權下投資的決策準則。
結果顯示，水泥業投資CCS計畫NPV 0，以傳統淨現值法決策，表示該投資應允以放棄。接著進而探討延遲決策所帶來之計畫價值，求得投資CCS設備之臨界條件，比較與傳統淨現值法的臨界條件差異，並針對不確定因素進行敏感性分析，最後給予投資者建議與應對未來的投資條件。

關鍵字

水泥業 ； 實質選擇權 ； 二氧化碳捕捉與封存 ； 淨現值

並列摘要

Recently, the excessive amount of greenhouse gas emission, causing climate change and global warming, has become a major worldwide issue. As one of the most significant ways of dealing with greenhouse gas emissions, carbon capture storage is gaining attention internationally. CCS achieves a 100-percent emission reduction over the process. Taiwan, like many developing countries, carbon dioxide (CO2) emissions from industrial sources dominate the total CO2 emissions. While cement industry account for the most CO2 emission in construction industry, research on investigate CCS options for cement industry plays a crucial role in order to effectively decreasing carbon emissions. However, the expensive cost of building integrated CCS projects and the lacks of legislation and policy cause highly instability in investment. To solve these problems, we propose an uncertainty model of CCS investment strategy in cement industry based on real options.
In this paper, we discuss the cost of investment in implementing CCS in cement plan. Firstly, the value of investment planning is measured by analyzing the effective factors. Secondly, we construct a model based on deferral option to incorporate uncertainty in the NPV calculations. Taking the uncertainty in the variables that influence the revenues and costs in consideration in order to increase the value of investment planning and propose decision making criteria based on real-options model.
The experimental result shows that the NPV of the investment in CCS at cement industry <<0, revealing the project should be stop. And further discuss the deferral options with project value and the critical point in investing the CCS equipment. Comparing the critical point between deferral options and traditional method, and measures the uncertainty associated with the NPV using CRR model allows us to further value the investment planning.

並列關鍵字

Cement Industry ； Real Option ； Carbon Capture and Storage, ； Net present value

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