【目的】构建一种基于波动率动态变化的林业碳汇项目价值评估新方法,探究波动率非恒定条件下林业碳汇项目的价值构成及关键影响因素,为提升林业碳汇项目价值评估的准确性提供新的理论支撑和实践指引。【方法】以江西省萍乡市莲花县高天岩生态林场造林碳汇项目为实证案例,通过将碳汇收益纳入项目价值体系,构建方差常弹性(CEV)期权定价模型,并针对无风险利率、杉木价格、碳价及经营成本等关键参数,进行系统的敏感性测试以及情景模拟分析。【结果】①与传统B-S模型相比,CEV模型所计算出的期权价值更为保守;②期权价值随着弹性系数的增加呈加速增长态势;③碳汇价格波动率、木材价格和碳汇价格对期权价值具有正向驱动作用,而无风险利率和经营成本则具有负向影响,其中木材价格和无风险利率的边际效应最为显著;④在最小弹性系数条件下,各不确定因素对期权价值的影响程度显著放大。【结论】CEV模型有效地解决了传统方法因恒定波动率假设导致的“尖峰厚尾”“波动率微笑”等市场异象,更符合中国林业碳汇市场的实际波动特征。

【Objective】This research develops an innovative valuation framework incorporating volatility dynamics for forestry carbon sequestration projects. 【Method】Using the afforestation project at Gaotianyan Ecological Forest Farm in Jiangxi Province as a case study, we systematically examine the value composition mechanisms and key determinants under non-constant volatility conditions. The constant elasticity of variance (CEV) option pricing model is established by integrating carbon revenues into the valuation system, followed by comprehensive sensitivity tests and scenario analyses on critical parameters the including risk-free rate, timber price, carbon price and operational costs.【Result】(1) The CEV model yields more conservative option values compared to the traditional B-S model. (2) Option value exhibits accelerated growth with increasing elasticity coefficients. (3) Carbon price volatility, timber price and carbon price demonstrate positive effects on option value, while risk-free rate and operational costs show negative impacts, with timber price and risk-free rate being the most significant marginal factors. (4) The influence of uncertainties on option value becomes substantially magni fied under conditions of minimum elasticity coefficients.【Conclusion】The CEV model effectively resolves market anomalies like “fat tails” and “volatility smile” caused by the constant volatility assumption, better thereflecting actual market dynamics of China’s forestry carbon sector, thereby providing both theoretical foundation and practical guidance for enhancing valuation accuracy.