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A Two Factor Model for Water Prices and Its Implications for Evaluating Real Options and Other Water Price Derivatives

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  • Chi H. Truong

Abstract

type="main" xml:lang="fr"> Les processus stochastiques à un seul facteur utilisés pour déterminer le prix de l'eau pourraient ne pas permettre de bien illustrer les impacts pertinents des chocs temporaires et des chocs permanents sur le prix de l'eau. Dans le présent article, nous avons proposé un cadre de modélisation à deux facteurs afin d'inclure les impacts de ces chocs. Nous avons utilisé le modèle pour analyser la règle d'investissement optimal lorsqu'un processus complexe de détermination du prix de l'eau s'applique. Les résultats indiquent que le fait d'ignorer les facteurs de long terme sur le prix de l'eau, comme dans les modèles à un seul facteur, peut entraîner un exercice prématuré de l'option réelle et entraîner une valeur actualisée nette (VAN) de l'investissement négative lorsque le prix de l'eau à long terme est faible. Le cadre de modélisation, qui donne lieu à des solutions analytiques pour déterminer la valeur des options européennes, contribue aussi à faciliter l'apparition imminente d'instruments dérivés pour la détermination du prix de l'eau sur les marchés de l'eau.

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  • Chi H. Truong, 2014. "A Two Factor Model for Water Prices and Its Implications for Evaluating Real Options and Other Water Price Derivatives," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 62(1), pages 23-45, March.
    • Handle: RePEc:bla:canjag:v:62:y:2014:i:1:p:23-45
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