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A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével
[Modelling of the carbon dioxide emissions of a power plant, using real options]

Author

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  • Nagy, Tamás

Abstract

A szerző egy, a szennyezőanyag-kibocsátás európai kereskedelmi rendszerében megfelelésre kötelezett gázturbinás erőmű szén-dioxid-kibocsátását modellezi négy termékre (völgy- és csúcsidőszaki áramár, gázár, kibocsátási kvóta) vonatkozó reálopciós modell segítségével. A profitmaximalizáló erőmű csak abban az esetben termel és szennyez, ha a megtermelt áramon realizálható fedezete pozitív. A jövőbeli időszak összesített szén-dioxid-kibocsátása megfeleltethető európai típusú bináris különbözetopciók összegének. A modell keretein belül a szén-dioxid-kibocsátás várható értékét és sűrűségfüggvényét becsülhetjük, az utóbbi segítségével a szén-dioxid-kibocsátási pozíció kockáztatott értékét határozhatjuk meg, amely az erőmű számára előírt megfelelési kötelezettség teljesítésének adott konfidenciaszint melletti költségét jelenti. A sztochasztikus modellben az alaptermékek geometriai Ornstein-Uhlenbeck-folyamatot követnek. Ezt illesztette a szerző a német energiatőzsdéről származó publikus piaci adatokra. A szimulációs modellre támaszkodva megvizsgálta, hogy a különböző technológiai és piaci tényezők ceteris paribus megváltozása milyen hatással van a megfelelés költségére, a kockáztatott értékére. Journal of Economic Literature (JEL) kód: G13, C15, L94, Q54.

Suggested Citation

  • Nagy, Tamás, 2013. "A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével [Modelling of the carbon dioxide emissions of a power plant, using real options]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 318-341.
    • Handle: RePEc:ksa:szemle:1372
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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