基于随机利率的煤炭资源采矿权估价双因素模型  

Two-factor model evaluating coal resources mining rights based on stochastic interest rate

作　　者：邹绍辉[1] 

机构地区：[1]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》2010年第1期81-85,共5页Journal of Xi’an University of Science and Technology

基　　金：国家自然科学基金项目(90410014;70873094);高等学校博士学科点专项基金资助课题(200807040003);西安科技大学博士科研启动基金(203-A5031108)

摘　　要：煤炭资源采矿权具有和股票看涨期权一样的期权特性,本质上是一种按年度执行的多期看涨期权。利率变动将直接影响煤炭资源采矿权价值,实证研究表明Vasicek利率模型能较好地拟合我国无风险利率变动过程。建立了基于Vasicek随机利率的煤炭资源采矿权估价双因素模型,通过一实例对该模型进行了运用,结果表明该模型较现金流量法更能反映资源所有者的权益,并且随着均值回复系数的增大,运用该模型得出的采矿权价值将变小。The coal resources mining rights has the same characteristics as option, which is a muhi-periods call option exercised annually. The behavior of interest rates will directly affect the value of coal mining right. Vasicek interest rates can better fit the changing tendency of risk-fee interest rates in China. With coal price following stochastic Brown process, a two-factor model evaluating coal resourees mining rights based on Vasicek interest rates is structured. Through a practical instance, the two-factor model, compared with DCF, can better reflect government＇s income as the owner of the resources. The value of this coal mining rights declines as the coefficient of mean-reverting increases.

关 键 词：煤炭资源 采矿权 期权 Vasicek利率 

分 类 号：TD985[矿业工程—选矿]