Using an option pricing approach to evaluate strategic decisions in a rapidly changing climate: Black–Scholes and climate change
Using an option pricing approach to evaluate strategic decisions in a rapidly changing climate: Black–Scholes and climate change
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DOI：
10.1007/s10584-016-1860-5
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发表时间：
2016-11
期刊：
影响因子：
4.8
通讯作者：
M. Sturm;M. Goldstein;H. Huntington;T. Douglas
中科院分区：
文献类型：
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作者：
M. Sturm;M. Goldstein;H. Huntington;T. Douglas
大自然提供了社会和企业所依赖的关键生态系统服务，但利用这些服务的努力和成本可能会随着气候变化而变化。气候趋势和变化都会影响这些努力和成本，从而产生一个复杂的决策空间，其中不确定的未来预测是规则。在这里，我们将展示这些问题如何模拟期权收益，并演示Black-Scholes期权定价公式（广泛用于金融）的修改版本，以分析这些类型的商业气候决策。我们证明了该方法（1）在加拿大西北地区，一个强大的负变暖趋势正在进行中的建设冰路的可行性，（2）将其应用到持续的加州干旱的问题，估计预期的水成本与存储和不存储。该方法是新颖的，并提供了一个简单和方便的方式，使这种评估至少一阶近似。虽然我们在这里的重点是决策通常基于金钱的商业情况，但我们建议在商业世界之外可以使用类似的方法来检查风险并将该风险归因于气候变化与趋势。
Nature provides critical ecosystem services on which society and businesses rely, but the effort and cost of utilizing those services can change with the climate. Both climatic trend and variance affect these efforts and costs, creating a complex decision space where uncertain future predictions are the rule. Here, we show how these problems mimic option payoffs and demonstrate a modified version of the Black–Scholes option pricing formula (widely used in finance) to analyze these types of business-climate decisions. We demonstrate the method by (1) examining the viability of building ice roads in the Northwest Territories of Canada, where a strong negative warming trend is underway, and (2) applying it to the problem of the ongoing California drought, estimating expected water costs with and without storage. The method is novel and provides a simple and accessible way to make such assessments to at least a first-order approximation. While our focus here is on business situations where decisions are usually based on money, we suggest that a similar approach could be used beyond the business world in examining risk and attributing that risk to climate variance vs. trend.