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Title: Real options for climate change investments under uncertainty
Keywords: Real Options, Climate Change, Uncertainty Investments
Issue Date: 30-Jul-2012
Citation: CHAN LAURENCE GORDON (2012-07-30). Real options for climate change investments under uncertainty. ScholarBank@NUS Repository.
Abstract: Managing CO2 emission control policy is a complex problem because of uncertainties in CO2 emission process and CO2 uptake, and irreversibility in investment decisions. This research is an application of real options analysis to CO2 reduction policies. The goals are to develop a framework and methodology with real options analysis for analyzing the timing and conditions of policy adoption in both normal and catastrophe climate events. In this research, CO2 emission is modeled as a stochastic process and CO2 observation data are used to statistically estimate the parameters of the stochastic CO2 emission model. A perpetual time model is developed to investigate CO2 emission cutback policy and CO2 concentration abatement policy and closed form analytical solutions are provided. As there are time constraints and limited economic resources in real world, finite time models for two stopping times, first hitting time and optimal stopping time, are investigated using numerical analysis.
Appears in Collections:Ph.D Theses (Open)

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