基于Black-Scholes模型的排水权期权定价研究——以秦淮河流域为例

doi:10.13776/j.cnki.resourcesindustries.20250901.003

资源与产业 ›› 2025, Vol. 27 ›› Issue (5): 12-19.DOI: 10.13776/j.cnki.resourcesindustries.20250901.003

基于Black-Scholes模型的排水权期权定价研究——以秦淮河流域为例

孙付华¹，罗禹禹¹，沈菊琴¹，赫超然¹，郭萍²

(1.河海大学农业科学与工程学院，江苏南京 210024； 2.北京工业大学经济与管理学院，北京 100124)

收稿日期:2024-10-28 修回日期:2025-05-03 出版日期:2025-10-20 发布日期:2025-10-20
通讯作者: 罗禹禹，硕士生，主要从事水土资源经济及管理、环境会计研究。E-mail：luoyy0321@163.com
作者简介:孙付华，博士、副教授，主要从事水土资源经济及管理、环境会计研究。E-mail：fhsun@hhu.edu.cn
基金资助:
江苏省水利科技项目(2019013；2018034)

OPTION PRICING OF DRAINAGE RIGHTS BASED ON BLACK-SCHOLES MODEL: A CASE STUDY ON QINHUAI RIVER BASIN

SUN Fuhua¹, LUO Yuyu¹, SHEN Juqin¹, HE Chaoran¹, GUO Ping²

(1.School of Agricultural Science and Engineering, Hohai University, Nanjing 210024, China; 2.School of Economics and Management, Beijing University of Technology, Beijing 100124, China)

Received:2024-10-28 Revised:2025-05-03 Online:2025-10-20 Published:2025-10-20

摘要/Abstract

摘要： 在全球气候变暖以及洪涝灾害频发的背景下，排水权概念的提出为解决区域排水权冲突提供了一种新的非工程措施，有利于降低洪涝灾害对区域社会经济的影响，落实国家水安全战略。排水权交易价格的确定是排水权交易的关键。在比较传统定价方法和期权定价方法的基础上，构建Black-Scholes的排水权期权定价模型，并对标的资产价格、执行价格、有效期、无风险利率和标的资产波动率5个要素的选取进行了详细分析，以期为排水权交易提供可靠的定价依据，推动排水权期权市场的健康发展。利用Black-Scholes 排水权期权定价模型，计算出不同期限秦淮河流域排水权期权的合理价格。秦淮河流域3 个月、6 个月、9 个月和 1 年的排水权期权的合理价格分别为 0.41元/m³、0.66元/m³、0.85元/m³和 0.97元/m³，随着合约期限的增加，排水权期权合理价格也呈增长趋势。未来排水权期权研究要进一步对模型假设进行验证，探讨多头期权定价的影响，以丰富排水权期权定价研究成果。

关键词: 排水权, 排水权期权, Black-Scholes模型, 秦淮河流域

Abstract: Under the background of global warming and frequent draughts & floods, the proposal of the concept of drainage rights provides a new non-engineering measure against regional drainage rights conflicts, helpful in mitigating the impacts of draughts/floods on regional economy to ensure national water security. Pricing drainage rights is the key to trading. This paper, based on a comparison between traditional pricing and option pricing, establishes a drainage option pricing model based on Black-Scholes model, and analyzes its five factors, i.e. asset price, executed price, validation period, non-risk interest rate and asset fluctuation rate, aiming at providing pricing references for trading drainage rights and at a sound drainage option market. Black-Scholes drainage option pricing model is used to calculate the appropriate prices of Qinhuai River drainage option in different periods, at 0.41 CNY/m³ in 3 months, 0.66 CNY/m³ in 6 months, 0.85 CNY/m³ in 9 months and 0.97 CNY/m³ in 12 months, showing a rising trend as contract period increases. Future drainage option studies should validate the model's assumptions, and discuss the impacts of expected-rising option pricing in order to enrich the research content of drainage option pricing.

Key words: drainage rights, drainage option, Black-Scholes model, Qinhuai River basin

中图分类号:

F205

孙付华, 罗禹禹, 沈菊琴, 赫超然, 郭萍. 基于Black-Scholes模型的排水权期权定价研究——以秦淮河流域为例[J]. 资源与产业, 2025, 27(5): 12-19.

SUN Fuhua, LUO Yuyu, SHEN Juqin, HE Chaoran, GUO Ping. OPTION PRICING OF DRAINAGE RIGHTS BASED ON BLACK-SCHOLES MODEL: A CASE STUDY ON QINHUAI RIVER BASIN[J]. Resources & Industries, 2025, 27(5): 12-19.

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[1]	孙付华，杜星宇，沈菊琴. 基于公平偏好的排水权交易定价的非对称信息讨价还价模型[J]. 资源与产业, 2020, 22(2): 79-88.
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基于Black-Scholes模型的排水权期权定价研究——以秦淮河流域为例

OPTION PRICING OF DRAINAGE RIGHTS BASED ON BLACK-SCHOLES MODEL: A CASE STUDY ON QINHUAI RIVER BASIN

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