考虑随机降雨预测的区域水期权交易动态定价机制研究——以广东省为例

doi:10.31497/zrzyxb.20200316

自然资源学报 ›› 2020, Vol. 35 ›› Issue (3): 713-727.doi: 10.31497/zrzyxb.20200316

考虑随机降雨预测的区域水期权交易动态定价机制研究——以广东省为例

徐豪¹, 刘钢^1,2,3

1. 河海大学管理科学研究所,南京 210098;
2. 河海大学水文水资源与水利工程科学国家重点实验室,南京 210098;
3. 河海大学沿海开发与保护协同创新中心,南京 210098

收稿日期:2019-01-02 修回日期:2019-06-10 出版日期:2020-03-28 发布日期:2020-03-28
通讯作者: 刘钢（1981- ）,男,山西太原人,博士,副教授,研究方向为生态经济学与新制度经济学。E-mail: lglhm@msn.com
作者简介:徐豪（1993- ）,男,河南信阳人,硕士,研究方向为水资源供应链与水权交易。E-mail: 1781706657@qq.com
基金资助:
国家重点研发计划项目（2017YFC0404600）; 国家社会科学基金青年项目（14CGL030）

Dynamic pricing mechanism of regional water option trading considering random rainfall forecast: A case study of Guangdong province

XU Hao¹, LIU Gang^1,2,3

1. Institute of Management Science, Hohai University, Nanjing 210098, China;
2. State Key Laboratory of Hydrology-Water Resources and Hydraulic Engineering, Hohai University, Nanjing 210098, China;
3. Collaborative Innovation Center for Coastal Development and Protection, Hohai University, Nanjing 210098, China

Received:2019-01-02 Revised:2019-06-10 Online:2020-03-28 Published:2020-03-28

摘要/Abstract

摘要： 水期权交易旨在解决水资源时空分布不均的问题,伴随着全球气候的变化,降雨量已成为影响水资源时空分布不均的重要因素。本文运用马尔科夫链进行降雨状态的划分和预测,在降雨量预测的基础上进行水期权交易相关费用的确定;将降雨量指标的预测结果融入到水期权最终交易价格的确定中,运用改进的Black-Scholes期权定价模型结合降雨量预测结果,确定水期权交易的权利金;最后运用扩展性线性支出模型进行计算结果的合理性检验,证明模型所确定的交易价格的合理性。本文以广东省为例进行案例分析,验证了将降雨量指标融入到水期权交易中的必要性,以及模型所确定的水期权交易相关费用的合理性,证明了波动水价相对于阶梯水价的优越性。考虑降雨量的水期权交易充分体现了水市场的供需关系,提高了我国水期权交易定价的科学性。

关键词: 水期权, 降雨量, 马尔科夫链, Black-Scholes模型, ELES模型

Abstract: Water option trading aims at solving the problem of uneven spatial and temporal distribution of water resources. With the change of global climate, rainfall has become an important factor leading to the uneven spatial and temporal distribution of water resources. In this paper, Markov chain is used to divide and forecast the rainfall scenarios. On the basis of rainfall forecast, the related costs of water option trading are determined. The forecast results of rainfall index are integrated into the determination of the ultimate overprice of water options. The improved Black-Scholes option pricing model is used to determine the rights of water options trading based on the forecast results of rainfall. Finally, the rationality of the calculation results is verified by using the extended linear expenditure model, which proves the rationality of the transaction price determined by the model. Taking Guangdong province as an example, this paper verifies the necessity of incorporating rainfall index into water option trading and the rationality of the related costs of water option trading determined by the model, and proves the superiority of fluctuating water price over stepped water price. Water option trading considering rainfall fully reflects the relationship between supply and demand in water market, and improves the scientificity of water option trading pricing in China.

Key words: rainfall, ELES model, markoff chain, Black-Scholes model, water rights option

徐豪, 刘钢. 考虑随机降雨预测的区域水期权交易动态定价机制研究——以广东省为例[J]. 自然资源学报, 2020, 35(3): 713-727.

XU Hao, LIU Gang. Dynamic pricing mechanism of regional water option trading considering random rainfall forecast: A case study of Guangdong province[J]. JOURNAL OF NATURAL RESOURCES, 2020, 35(3): 713-727.

参考文献

[1] 沈大军, 张萌. 水资源利用发展路径构建及应用. 自然资源学报, 2016, 31(12): 2060-2073.
[SHEN D J, ZHANG M.Construction and application of water resources utilization development path. Journal of Natural Resources, 2016, 31(12): 2060-2073.]
[2] 刁俊科, 崔东文. 基于鲸鱼优化算法与投影寻踪耦合的云南省初始水权分配. 自然资源学报, 2017, 32(11): 1954-1967.
[DIAL J K, CUI D W.Initial water rights allocation in Yunnan province based on the coupling of whale optimization algorithm and projection pursuit. Journal of Natural Resources, 2017, 32(11): 1954-1967.]
[3] 田贵良, 张甜甜. 我国水权交易机制设计研究. 价格理论与实践, 2015, (8): 35-37.
[TIAN G L, ZHANG T T.Research on the design of water right trading mechanism in China. Price Theory and Practice, 2015, (8): 35-37.]
[4] 李胚, 窦明, 赵培培. 最严格水资源管理需求下的水权交易机制. 人民黄河, 2014, 36(8): 52-56.
[LI P, DOU M, ZHAO P P.Water rights trading mechanism under the strictest water resources management demand. People's Yellow River, 2014, 36(8): 52-56.]
[5] 刘钢, 杨柳, 石玉波, 等. 准市场条件下的水权交易双层动态博弈定价机制实证研究. 中国人口·资源与环境, 2017, 27(4): 151-159.
[LIU G, YANG L, SHI Y B, et al.An empirical study on the bi-level dynamic game pricing mechanism of water rights trading under quasi-market conditions. China Population, Resources and Environment, 2017, 27(4): 151-159.]
[6] REZNIK A, FEINERMAN E, FINKELSHTAIN I, et al.The cost of covering costs: A nationwide model for water pricing. Water Economics and Policy, 2016, 2(4): 1-39.
[7] SHEN X, LIN B.The shadow prices and demand elasticities of agricultural water in China: A StoNED-based analysis. Resources, Conservation & Recycling, 2017, 127(6): 21-28.
[8] 贾学秀, 严岩, 朱春雁, 等. 区域水资源压力分析评价方法综述. 自然资源学报, 2016, 31(10): 1783-1791.
[JIA X X, YAN Y, ZHU C Y, et al.Review of regional water resources pressure analysis and evaluation methods. Journal of Natural Resources, 2016, 31(10): 1783-1791.]
[9] MICHELSEN A M, YOUNG R A.Optioning agricultural water rights for urban water supplies during drought. American Journal of Agricultural Economics, 1993, 75(4): 1010-1020.
[10] HOWITT R E.Empirical analysis of water market institutions: The 1991 California water market. Resource and Energy Economics, 1994, 16(4): 357-371.
[11] WATTERS P A.Efficient Pricing of Water Transfer Options: Non-structural Solutions for Reliable Water Supplies. Californial: University of Californial-Riverside, 1995.
[12] WHITTLESEY N K, HUFFAKER R G.Water policy issues for the twenty-first century. American Journal of Agricultural Economics, 1995, 77(5): 1199-1203.
[13] ROZAKLIS L R W. Metropolitan water supply investigation: Final report. Colorado: Report to the Colorado Water Conservation board, 1990.
[14] VILLENSKI. Valuing multiple-exercise options contracts: Methodology and application to water markets. Denver, Colorado: American Agricultural Economic Association Annual Meeting, 2003, 5: 1178-1199.
[15] HAFI A, BEARE S, HEANEY A.Water options for environmental flows. Abare Report, 2005, 10: 1725-1737.
[16] 王浩. 可持续发展观念下的水价政策与实施建议. 北京水利, 1997, (1): 9-12.
[WANG H.Water price policy and implementation suggestions under the concept of sustainable development. Beijing Water Resources, 1997, (1): 9-12.]
[17] 张郁, 秦丽杰, 靳英华. 用期货市场思路建立南水北调水市场设想. 中国人口·资源与环境, 2002, (2): 59-62.
[ZHANG Y, QIN L J, YAN Y H.Establishing the water market of south-to-north water transfer in the futures market. China Population, Resources and Environment, 2002, (2): 59-62.]
[18] 王慧, 王慧敏, 仇蕾, 等. 南水北调东线水期权契约及其定价模型研究. 软科学, 2008, 22(7): 7-10.
[WANG H, WANG H M, QIU L, et al.Research on water option contract and its pricing model for the east route of South-to-North Water Transfer Project. Soft Science, 2008, 22(7): 7-10.]
[19] 王慧敏, 王慧, 仇蕾, 等. 水期权及其定价模型: 以南水北调东线为例. 系统工程, 2008, 26(7): 45-51.
[WANG H M, WANG H, QIU L, et al.Water option and its pricing model: Taking the east route of South-to-North Water Transfer as an example. Systems Engineering, 2008, 26(7): 45-51.]
[20] 仇蕾, 王慧, 王慧敏, 等. 基于蒙特卡罗的水期权定价模型: 以南水北调东线为例. 统计与决策, 2008, (23): 61-64.
[QIU L, WANG H, WANG H M, et al.Water option pricing model based on Monte Carlo: Taking the eastern route of South-to-North Water Transfer as an example. Statistics and Decision, 2008, (23): 61-64.]
[21] 周进梅, 吴凤平. 南水北调东线工程水期权交易及其定价模型. 水资源保护, 2014, 30(5): 91-94.
[ZHOU J M, WU F P.Water option trading and pricing model for the east route of South-to-North Water Transfer Project. Water Resources Protection, 2014, 30(5): 91-94.]
[22] 石常峰, 田贵良, 孙兴波, 等. 应对干旱事件的虚拟水期权契约设计研究. 干旱区资源与环境, 2016, 30(6): 71-76.
[SHI C F, TIAN G L, SUN X B, et al.Research on virtual water option contract design for response to drought events. Journal of Arid Land Resources and Environment, 2016, 30(6): 71-76.]
[23] 仲远见, 李靖, 王龙. 改进马尔可夫链降雨量预测模型的应用. 济南大学学报: 自然科学版, 2009, 23(4): 402-405.
[ZHONG Y J, LI J, WANG L.Application of improved Markov Chain rainfall prediction model. Journal of Jinan University: Natural Science Edition, 2009, 23(4): 402-405.]
[24] 钱会, 李培月, 王涛. 基于滑动平均—加权马尔科夫链的宁夏石嘴山市年降雨量预测. 华北水利水电学院学报, 2010, 31(1): 6-9.
[QIAN H, LI P Y, WANG T.Prediction of annual rainfall in Shizuishan city, Ningxia based on Moving Average-weighted Markov Chain. Journal of North China Institute of Water Conservancy and Hydroelectric Engineering, 2010, 31(1): 6-9.]
[25] 王涛, 钱会, 李培月. 加权马尔可夫链在银川地区降雨量预测中的应用. 南水北调与水利科技, 2010, 8(1): 78-81.
[WANG T, QIAN H, LI P Y.Application of weighted Markov Chain in rainfall prediction in Yinchuan region. South-to-North Water Transfer and Water Science and Technology, 2010, 8(1): 78-81.]
[26] MAUROGASPARINI. Markov Chain monte carlo in Practice. Technometrics, 1997, 39(3): 235-246.
[27] FALKENMARK M, LUNDQVIST J, WIDSTRAND C.Macro-scale water scarcity requires micro-scale approaches: Aspects of vulnerability in semi-arid development. Natural Resources Forum, 1989, 13(4): 258-267.
[28] BLACK F, SCHOLES M.The pricing of options and corporate liabilities. Journal of Political Economy, 1973, 3: 637-654.
[29] 李璐含. 基于Black-Scholes公式的供应链期权契约的定价研究. 商场现代化, 2016, (15): 10-11.
[LI L H.Pricing of supply chain option contract based on Black-Scholes formula. Modernization of Shopping, 2016, (15): 10-11.]
[30] 陈涵, 涂永式. 我国信托保障基金缴费定价标准的理论探析: 基于Black-Scholes期权定价模型的实证. 价格理论与实践, 2015, (12): 133-135.
[CHEN H, TU Y S.Theoretical analysis of China's trust guarantee fund payment pricing standard: based on the empirical study of Black-Scholes option pricing model. Price Theory and Practice, 2015, (12): 133-135.]
[31] 李书强. 环境污染责任保险定价实证研究: 基于Black-Scholes模型之视角. 第十届北大赛瑟(CCISSR)论坛, 中国北京, 2013.
[LI S Q.Empirical study on the pricing of environmental pollution liability insurance: Based on the perspective of Black-Scholes Model. The 10^th Beijing University of Seychelles (CCISSR) Forum, Beijing, China, 2013.]
[32] 彭菁菁. Black-Scholes模型与DCF模型在B2B电子商务企业价值评估中的互补应用. 金融经济, 2014, (16): 97-99.
[PENG J J.Complementary application of Black-Scholes model and DCF model in B2B E-commerce enterprise value evaluation. Financial Economy, 2014, (16): 97-99.]
[33] 俞培果, 沈云, 刘群. 扩展线性支出系统预测精度的验证研究. 数理统计与管理, 2002, 21(5): 37-41.
[YU P G, SHEN Y, LIU Q.Validation research on prediction accuracy of extended linear expenditure system. Journal of Mathematical Statistics and Management, 2002, 21(5): 37-41.]
[34] 李子奈. 计量经济学: 方法和应用. 北京: 清华大学出版社, 2002: 86-98.
[LI N Z.Econometrics: Methods and Applications. Beijing: Tsinghua University Press, 2002: 86-98.]
[35] LLUCH C.The extended linear expenditure system. European Economic Review, 1973, 4(1): 21-32 .

考虑随机降雨预测的区域水期权交易动态定价机制研究——以广东省为例

Dynamic pricing mechanism of regional water option trading considering random rainfall forecast: A case study of Guangdong province

RichHTML

PDF (PC)

赞

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 5

Metrics

本文评价

推荐阅读 0

[1]	陈晓燕, 张娜, 吴芳芳. 降雨和土地利用对地表径流的影响—以北京北护城河周边区域为例[J]. 自然资源学报, 2014, 29(8): 1391-1402.
[2]	景亚平, 张鑫, 罗艳. 基于修正组合模型的青海省城市需水量预测[J]. 自然资源学报, 2012, 27(6): 1013-1021.
[3]	蔺涛, 谢云, 刘刚, 陈德亮, 段兴武. 黑龙江省气候变化对粮食生产的影响[J]. 自然资源学报, 2008, 23(2): 307-318.
[4]	杨兴国, 张旭东, 杨启国. 黄土高原雨养农业区雨水集蓄应用研究[J]. 自然资源学报, 2004, 19(3): 300-306.
[5]	姚治君, 廖俊国, 陈传友. 云南玉龙山东南坡降雨因子与土壤流失关系的研究[J]. 自然资源学报, 1991, 6(1): 45-54.