Wind Power Investment Strategy Under Uncertainty Of Carbon Price Based On Mean Reversion Process

Along with the Kyoto protocol took effect in 2005. Each country’s carbon dioxide emissions has the property of commodity. Because China as a member signed the Kyoto protocol, so bear the pressure to reduce emissions would be bigger and bigger. In order to develop a low-carbon economy and realize the sustainable development, China has taken the wind as one of strategic industries. But wind power has not only the benefits but also risk of the investment:On the one hand, because wind power technology in China is backward, the wind power investment cycle is long, so the wind power generation cost is high; On the other hand, wind power is a sustainable clean energy, Wind farms can sell carbon credits to obtain carbon yield, So the cost of wind environment is far lower than the conventional energy sources. Under the above background, This article adopts the method of real option to explore the value of wind power investment project, Aims to provide advice for wind power investment decision makers. Through the contrastive analysis of the three kinds of random process Proves that the carbon price subject to mean reversion process.This article collect the EUA spot price on EEX trading platform to discuss the uncertainty of carbon price, and use Brownian motion, geometric Brownian motion, mean reversion process to simulate the process of the carbon price fluctuations. Through the contrast analysis shows that the carbon price subject to mean reversion process. Under the premise of risk-free interest rates、wind power costs, price of electricity and quantity unchanged. Using the real option theory to establish a wind power investment under uncertainty of carbon price, and find the threshold. Using MATLAB to analyze the influence of uncertainty parameters on wind power investment threshold. On the basis of above research, analyzing the relationship between the threshold value and the parameters uch as investment cost, price and power generation.The analysis shows that,1) The uncertainty parameters of carbon price have obvious effects on the investment threshold, Investment thresholds tend to rise when the speed of reversion and volatility of the process increases. The higher the carbon price uncertainty, the higher the threshold wind power investment. The long-run mean price and investment threshold value is negative correlation.2) Present a tendency of increasing threshold when wind power investment cost increase. Investment thresholds and the parameters such as the risk-free interest rate, power generation and investment cost is a negative correlation of the nonlinear. In the resources section of the higher electrovalence, investors will be relatively easy to enter the wind power market.