基于多重复合实物期权的自然资源开发投资评价模型  

A Valuation Model for Investment in Natural Resource Development Based on Compound Real Option Theory

作　　者：何沐文[1] 刘金兰[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《系统工程》2011年第2期44-49,共6页Systems Engineering

摘　　要：针对自然资源开发项目周期长、不确定性高和投资决策分阶段的特点,基于实物期权理论建立多重复合期权投资评价模型,弥补了传统贴现现金流和一阶段实物期权方法在实际应用中的不足。并对G eske复合期权定价方法进行扩展,使之适用于买方期权与卖方期权混合状态下的多重复合实物期权定价。结合某海外原油开发项目实例,进行数值计算和参数的敏感性分析。实验结果表明模型具有较好的实用性和稳定性。This paper presents a project evaluation model for the nature resource investment.Traditional discounted cash flow and real options method fail to capture the full value in application,because of the characteristics of nature resource development project such as long period,high uncertainty and multi-stage investment decision.Using a generalization of Geske＇s compound option model,we derive a solution for an n-fold compound option model,and apply it to calculate the value of an oversea petroleum project.The result of experiment and the sensitivity analysis shows the model has strong practicability and stability.

关 键 词：项目评价 复合实物期权 多阶段投资决策 自然资源开发投资 

分 类 号：C934[经济管理—管理学]