石油开发项目实物期权评价方法  

Real option valuation model for petroleum development projects

作　　者：罗东坤[1] 汪华 

机构地区：[1]中国石油大学(北京)工商管理学院 [2]中国石油天然气勘探开发公司

出　　处：《石油勘探与开发》2007年第4期493-496,共4页Petroleum Exploration and Development

基　　金：国家重点科技攻关项目(99-111-01-04)

摘　　要：石油开发投资具有可延迟性,这一特点使得石油开发项目具有灵活性价值,科学评估石油开发中延迟期权的价值,可使项目评估结果更为客观可靠。项目评估过程中,对开发方案所设计的未来各年产量进行套期保值,并假设无技术不确定性,采用原油价格服从几何布朗运动、原油便利收益服从均值回复运动的原油价格波动模型,在此基础上,建立石油开发项目无风险折现现金流模型,并采用LSM算法确定石油开发延迟期权的价值。实例分析表明:净现值小于零的开发项目可能具有开发价值,但立即实施一个净现值大于零的项目可能不是最优决策;项目开发价值与可延迟期限正相关,但并不随可延迟期限的增加而一直增加。A distinct feature of a petroleum development project is the right to wait, which produces a flexibility value to the project. Valuating the option to defer scientifically will make the evaluation of a project more objective and reliable. Hedging the designed production in a development plan, assuming no technical uncertainty, and employing the oil price motion equation in which oil price follows Geometric Brownian Motion and oil convenience yield follows mean-reversion motion, the paper establishes a risk-free DCF model for petroleum development project valuation, in which I.SM algorithm has been employed to calculate the value of the option to defer. The analysis results show that, a project with negative NPV （Net Present Value） possibly deserves to be developed, and sometimes developing a project with positive NPV immediately is not the best decision; the value of a development project is directly proportional to the duration of waiting within a certain time range, and long duration of waiting period would not increase the value of projects.

关 键 词：石油开发 投资决策 经济评价 实物期权 无风险折现现金流模型 

分 类 号：TE192[石油与天然气工程—油气勘探]