The two-factor model of evaluating mining rights of coal resources based on options  

作　　者：张金锁 邹绍辉 师新民 

机构地区：[1]School of Management,Xi'an University of Science and Technology,Xi'an 710054,China [2]Department of Foreign Language,Xi'an University of Science and Technology,Xi'an 710054,China

出　　处：《Journal of Coal Science & Engineering(China)》2008年第2期321-325,共5页煤炭学报（英文版）

基　　金：the National Natural Science Foundation of China(90410014)

摘　　要：MRCR could be regarded as a multi-stage compounding real option,based on option theory,assuming the convenience yield of coal reserves to be constant,built a one-factor model of valuating MRCR with the stochastic value of coal reserves.On the basis of our one-factor model,set up a two-factor model of evaluating MRCR assuming the convenience yield follows the mean-reverting process.When applied to valuate the MRCR of a coalmine,this model gives higher values than the one-factor model and the NPV.This is because the increase of convenience yield can improve the executive oppor- tunity of MRCR.MRCR could be regarded as a multi-stage compounding real option, based on option theory, assuming the convenience yield of coal reserves to be constant, built a one-factor model of valuating MRCR with the stochastic value of coal reserves. On the basis of our one-factor model, set up a two-factor model of evaluating MRCR assuming the convenience yield follows the mean-reverting process. When applied to valuate the MRCR of a coalmine, this model gives higher values than the one-factor model and the NPV. This is because the increase of convenience yield can improve the executive opportunity of MRCR.

关 键 词：coal resources mining rights real option stochastic convenience yield 

分 类 号：TD82[矿业工程—煤矿开采]