이항옵션가격 모형을 활용한 CER 판매전략 구축과 이를 통한 CDM 사업 수익성 향상 방안에 관한 연구

The Clean Development Mechanism (CDM) allows New & Renewable Energy projects to make additional income by selling CER's, which represent the amount of Green House Gases(GHG) that is reduced in the project. However, forward contracts used to hedge fluctuating market prices does not allow projects to sell CER's at a premium. As an alternate approach to maximize CER revenue, CER's are modeled as a 'real option', in which CER's are sold only above the desired sales price. Using the Binomial Option Pricing model, the resultant lattices are used to determine whether to sell, defer or abandon the option at individual nodes. Overlaying Pascal's Triangle on the lattices also enabled the calculation of the annual probabilities for deferring CER sales without incurring downside losses. Application to an actual Landfill Gas project showed increased overall NPV, and that CER sales could be deferred at a maximum of 2 years. The proposed framework allows transparency in the analysis and provides valuable and strategical information when making investment decisions related to CER sales of CDM projects.