价格服从跳跃--扩散的矿业权估价方法研究  

Evaluation method of mining rights based on jump diffusion interest rates and price

作　　者：邸涛[1] 惠莉萍[2] 

机构地区：[1]西安武警工程学院基础部,陕西西安710086 [2]西安科技大学管理学院,陕西西安710054

出　　处：《西安科技大学学报》2008年第1期155-157,178,共4页Journal of Xi’an University of Science and Technology

基　　金：国家自然科学基金资助项目(90410014)

摘　　要：由于收益现值法无法考虑矿业权持有者在运营管理上的灵活性,而已有的矿业权期权估价方法不考虑矿产品价格的不连续随机变动和利率的随机变动,从而导致在使用这些方法对矿业权进行评估时容易低估其价值。为此,文中建立了基于跳跃-扩散价格和随机利率的矿业权估价方法模型。In practice of application of evaluation method of income present value, management flexibility is not considered, and the discontinuous changing process is not considered in most of evaluation methods of mining rights based on option, these cause the value of mining rights is underestimated. A method of evaluating mining rights based on jump diffusion interest rates and price in the spot is set up. And the method is verified in a specific case to show that the value of the mining rights evaluated by this method is larger than that by the IPV.

关 键 词：矿业权 期权 跳跃-扩散 

分 类 号：F407.1[经济管理—产业经济]