基于随机便利收益的煤炭资源采矿权估价两因素模型  

Two-factor Model of Valuating Mining Rights of Coal Resources Under the Condition of Stochastic Convenience Yield

作　　者：张金锁[1] 邹绍辉[1] 李朋林[1] 

机构地区：[1]西安科技大学管理学院,陕西西安710054

出　　处：《能源技术与管理》2007年第5期13-16,共4页Energy Technology and Management

基　　金：国家自然科学基金项目(90410014)

摘　　要：煤炭资源采矿权可以被认为是一个多期多阶段的复合看涨实物期权。便利收益的变动将直接影响煤炭资源采矿权价值,固定不变的便利收益或不考虑便利收益都不能准确地反映煤炭资源采矿权价值的变化。假定便利收益服从随机布朗运动,建立了便利收益和煤炭资源储量价值都随机变动的采矿权估价两因素模型,并通过实例进行了验证。Mining rights of coal resources can be regarded as a multi-stage compounding real call option based on the option theory. The convenience yield affects the value of mining rights because it influences the real call option. Assuming the convenience yield to be constant or not considering the convenience yield can＇t reflect the change of values of mining rights. The paper, assuming the convenience yield follows a mean-reverting process, sets up the two-factor model of valuating mining rights of coal resources under conditions of stochastic convenience yield and stochastic value of coal reserves, and then verifies the model through a real example.

关 键 词：煤炭资源 采矿权 便利收益 实物期权 估价 

分 类 号：F407.1[经济管理—产业经济]