【作者】 王鹏；

【导师】 鲁法典；

【作者基本信息】 山东农业大学 ， 森林经理学， 2021， 硕士

【副题名】以广西高峰林场杉木林为例

【摘要】 近年来,随着我国林业经济的快速发展,国内林业投资项目的数量也逐渐增多,但项目的质量却参差不齐,项目的成功率无法得到保障。确保项目成功运营的关键是合理评估出项目的价值,但当前传统价值评估方法只能评估出项目的静态价值,对于经营过程中的动态价值无法准确反映,这不仅会影响到投资者对投资环境的判断,更会使投资者错失投资的最佳时机,最终造成项目的失败。而林业投资项目中的动态价值来源于项目所具有的收益不确定性、投资不可逆性、管理灵活性以及自然增长与可再生性的期权特性,因此应用实物期权法可以更为合理的评估出项目中的动态价值,从而弥补传统价值评估方法的不足。但是,国内外将实物期权法应用于林业投资项目价值评估的研究还相对较少,且同时考虑木材和碳汇价格波动对林业资产总体价值影响的研究还处于空白。因此,为了验证实物期权法在考虑林产品价格波动的基础上对林业投资项目价值的评估效果以及实物期权法两种定价模型对项目中不同类型期权价值的拟合效果,为林业投资者更好的应用实物期权法提供指导,本研究以广西一类清查数据为基础,以杉木作为主要树种的广西高峰林场裸地造林项目为例,在考虑杉木、碳汇价格波动的基础上分别应用传统NPV法、Black-Scholes模型、二叉树模型对项目的价值进行了评估,并对结果进行了比较分析,现结论如下:(1)林业投资项目各个阶段存在着不同类型的实物期权,这些单一期权又组合形成复合期权,在对林业投资项目价值评估时应用实物期权法能够评估出项目的复合期权价值,使评估结果更为科学、准确。(2)林产品价格的波动是林业投资项目中不确定性的重要来源,随着林产品价格波动率的增加,项目中的不确定性也会不断增加,对项目价值产生的影响也会逐渐增大。运用实物期权法可同时考虑不同标的资产的价格波动,通过对每种资产的实物期权价值分别进行评估,最终得到更为合理的项目总价值。(3)当林产品价格变动幅度较大时,Black-Scholes模型比二叉树模型的稳定性更高,评估出的结果更准确。同时,两种模型对林产品价格不变状态下的期权价值拟合效果基本相同,Black-Scholes模型对林产品价格升高及下降状态下的期权价值拟合效果更好。在实际应用中应根据具体的评估要求及林产品价格的变动对两种定价模型进行合理选择,从而充分发挥实物期权法的优势。更多还原

【Abstract】 In recent years,with the rapid development of my country’s forestry economy,the number of domestic forestry investment projects has gradually increased,but the quality of the projects is uneven,and the success rate of the projects cannot be guaranteed.The key to ensure the successful operation of the project is to reasonably evaluate the value of the project,but the current traditional value evaluation methods can only evaluate the static value of the project,and cannot accurately reflect the dynamic value in the operation process,which will not only affect the investor’s investment environment The judgment of this will make investors miss the best time to invest,and ultimately cause the failure of the project.The dynamic value of forestry investment projects comes from the project’s income uncertainty,investment irreversibility,management flexibility,and the option characteristics of natural growth and reproducibility.Therefore,the real option method can be used to evaluate the project more reasonably.The dynamic value in the market,thereby making up for the shortcomings of traditional value evaluation methods.However,there are relatively few researches on the application of real option method to forestry investment project value evaluation at home and abroad,and the research that considers the impact of wood and carbon sink price fluctuations on the overall value of forestry assets is still blank.Therefore,in order to verify the evaluation effect of the real option method on the value of forestry investment projects based on the price fluctuations of forest products and the fitting effect of the two pricing models of the real option method on the value of different types of options in the project,it is better for forestry investors Provide guidance for the application of the real option method.This study is based on the first-class inventory data in Guangxi,and the bare-land afforestation project of Guangxi Gaofeng Forest Farm with fir as the main species as an example.The traditional NPV is applied on the basis of considering the price fluctuations of fir and carbon sinks.The method,the Black-Scholes model,and the binary tree model have evaluated the value of the project,and compared and analyzed the results.The conclusions are as follows:(1)There are different types of real options at various stages of forestry investment projects,and these single options are combined to form a compound option.When evaluating the value of forestry investment projects,the real option method can be used to evaluate the compound option value of the project and make the evaluation result more accurate.It is scientific and accurate.(2)The volatility of forest product prices is an important source of uncertainty in forestry investment projects.As the volatility of forest product prices increases,the uncertainty in the project will continue to increase,and the impact on the value of the project will gradually Increase.Using the real option method,the price fluctuations of different underlying assets can be considered at the same time.By evaluating the real option value of each asset separately,a more reasonable total project value can be finally obtained.(3)When the price of forest products fluctuates greatly,the Black-Scholes model is more stable than the binary tree model,and the evaluation result is more accurate.At the same time,the two models have basically the same effect in fitting the option value under the condition of unchanged forest product prices,and the Black-Scholes model has a better fitting effect on the option value under the condition of rising and falling forest product prices.In practical applications,the two pricing models should be reasonably selected according to specific evaluation requirements and changes in forest product prices,so as to give full play to the advantages of the real option method.更多还原