本论文通过引入实物期权模型作为一种新型投资决策模型，着重
研究期权理论作为发电投资决策模型的可应用性和适用性问题，给出
发电投资期权类型并对决策模型进行构建，通过和传统投资决策模型
进行比较分析，深入探讨实物期权模型的优缺点和在发电投资决策中
的适应性。本论文最后会给出一个实际发电投资决策算例，结合实物
期权模型包括 Black-Scholes 模型、二叉树模型和蒙特卡洛模型进行
求解，给电力企业提供一个具有可操作性和实施性的投资决策方法。
关键词：电力市场，发电投资，实物期权，期权定价模型
Application and Research of Option Theories in the
Generation Investment Decision-Making
ABSTRACT
Electric power is one of the most essential resources in people’s daily life and producing
activities. It supports all kinds of producing activities and meanwhile ensures the stability and
security of our country by being the fundament resource that concerns national economy and
people’s livelihood. In electric power market, power plants are the most important part of
electric power system and the economic benefits of the generation side and the corporation
environmentwillhavebutterflyeffectonindustrialchain.China’selectricpowermarketisright
nowinthemodeofprice‐competitionmechanism.Theintroductionofcompetitivemechanism
ofgenerationsideresultedinthefactthattheinvestmentofelectricpowerenterpriseswentinto
the market-oriented mode. With the development of this mode, electric power investments
wouldnotbeabletomakeprofitthateasilyanymoreandthedecision‐makingoftheinvestments
ismoreandmorebecomingprudent.
This thesis focuses on the applicability and feasibility of option theory concerning the
electric power investment decision‐making process through the introduction of real option
approach as one new investment decision‐making model, and puts forward generation
investment option types and its construction, which will be compared with traditional ones in
ordertocometoaconclusionoftheadvantagesanddisadvantagesofrealoptionmodelsandits
feasibility in the decision‐making process. At the end of this thesis, a real case of generation
investment will be presented which Black‐Scholes model, binomial model and Monte‐Carlo
modelsothataapplicableandfeasiblesolutioncanbeprovidedtoelectricpowerenterprisesto
makewiseinvestments.
KEY WORDS: electric market, generation investment, real option, option
pricing model
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