南水北调东线水资源配置中的期权契约研究

针对南水北调东线实际和传统水资源配置方法的局限性。借鉴金融工程的理念。引入水期权契约作为市场机制下水资源配置的一种方式．用以提高干旱年水供给保证率、规避水价波动风脸，从而提高东线水资源使用价值。分析期权契约理论用于南水北调水资源配置的可行性。并根据东线受水区流域水资源供求缺口的影响因素分析．得出水价的均值回复特性。在上述分析基础上引入多次执行期权契约。考虑应用动态规划方法对期权价值进行求解。并通过算例分析验证了该方法的可行性．最后根据南水北调东线实际构建了水期权契约在东线的应用流程。

Study on the Option Contract in Water Resources Allocation of Eastern Rout of South-to-North Water Transfer

We consider water option contracts issued by water users along Eastern Rout of South-to-North Water Transfer that can be exercised many times during its lifespan as a new method of water resources allocation, which can avoid the risk of water price, increase the value of water resources and optimize the allocation of water. According to the fact of Eastern Rout, we analyze the feasibility of water option contract, and the factors that influence water price, and draw a conclusion that water price has a characteristic of mean-reversion. Then we use dynamic programming method to value this kind of option contract. Trough a case study of Eastern Rout, we verify the feasibility of this method. At last, we construct a simple application step for water option contract.