جذب و ذخیره سازی کربن — استراتژی های سرمایه گذاری برای آینده؟

The following article deals with real options modeling for investing into carbon capture and storage technologies. Herein, we derive two separate models. The first model incorporates a constant convenience yield and dividend for the investment project. In the second model, the convenience yield is allowed to follow a mean reverting process which seems to be more realistic, but also increases the model’s complexity. Both frameworks are to be solved numerically. Therefore, we calibrate our model with respect to empirical data and provide insights into the models’ sensitivity toward the chosen parameter values. We found that given the recently observable prices for carbon dioxide, an investment into C O2-storage facilities is not profitable.

The following article derives a real option model for investments into carbon capture and storage technologies. Modeling these kinds of investment decisions can be done with simple or more advanced methods of which two are derived here. The increasing complexity of the model implies that there are more boundary conditions that have to be fulfilled in order to solve the investment problem. Our simple model is made up of stochastic prices for carbon dioxide certificates but includes a fixed amount of dividends and opportunity costs. For the second model, the latter assumption is neglected and we introduce a stochastic convenience yield. Neither model does have a closed form solution and are thus solved numerically. In the course of this article, we determine adequate parameter values, which can only provide a proxy as currently no empirical reference values exist. We find that given the analyzed combination of parameter values, an investment into carbon capture and storage is not profitable given a current price for emission allowances of about 15 EUR. At least, until these prices are not doubled, no decision in favor of CCS investments will be made. Due to our simulations, a critical price for the certificate seems to be given at 70 EUR,15 which is confirmed by both the one dimensional and the two dimensional model. One of the main cost drivers in our model are the costs for separating carbon dioxide from the certain production process. These make more than 90% of the included costs for carbon capture and storage technologies. Hence, decreasing these costs would probably lead immediately to higher profitability of these investments. However, the above mentioned model gives insights into modeling new technologies in the energy sector. Nevertheless, the implementation of a Poisson process instead of a arithmetic Brownian motion as stochastic for the price evolution would lead to an improvement of the analysis, as a Poisson process allows the incorporation of the discrete parts in the stochastic development, and, therefore, approves the visualization of the transitions between the national allocation plans and the certain trading periods for carbon dioxide certificates. But this is left for further research.