基于CEV期权定价模型的林业碳汇项目价值评估分析
打开文本图片集
中图分类号：S7-9;F326.20 文献标志码：A 文章编号：1000-2006（2025）05-0242-07
Value evaluation analysis of forestry carbon sequestration project based on CEV option pricing model
ZHANG Shengliang，AO Haiyan，PENGHongjun，MU Yali （College of Economics and Management，Nanjing Forestry University，Nanjing 21Oo37，China）
Abstract：【Objective】Thisresearch developsan innovativevaluation framework incorporating volatilitydynamics for forestrycarbon sequestration projects.【Method】Using the aforestation project at Gaotianyan Ecological Forest Farm in JiangxiProvince asacase study，wesystematicallyexaminethevaluecompositionmechanismsandkeydeterminants undernon-constant volatityconditions.Theconstant elasticityof variance（CEV）optionpricing model isestablished by integratingcarbonrevenues intothevaluationsystem，followedbycomprehensivesensitivitytestsandscenarioanalyses on critical parameters the including risk-freerate，timber price，carbon price andoperational costs.【Result】（1）The CEV model yields more conservativeoption values compared to the traditional B-S model.（2）Option value exhibits accelerated growth with increasing elasticitycoeffcients.（3）Carbonpricevolatility，timberpriceand carbon price demonstratepositiveefectsonoptionvalue，whilerisk-freerateandoperationalcosts show negative impacts，withtimber priceandrisk-freeratebeingthemostsignificant marginal factors.（4）Theinfluenceofuncertaintiesonoptionvalue becomes substantially magni fiedunderconditionsof minimum elasticitycoefcients.【Conclusion】The CEV model effctivelyresolves marketanomalies like“fattails”and“volatilitysmile”causedbytheconstant volatityassumption， beter thereflectingactual marketdynamicsof China’sforestrycarbon sector，therebyproviding both theoretical foundation and practical guidance for enhancing valuation accuracy.
Keywords：forestrycarbon sequestration；newrealoptionapproach；constant elasticityof variance option pricing model 收稿日期Received：2024-08-19 修回日期Accepted：2024-10-14
constant coefficient of elasticity
随着温室气体排放的增加，全球气候问题日趋严重。（剩余15052字）
