实物期权在矿业最佳投资时机中的应用  

The Application of Real Option Approach to the Best Mining Investment Timing

作　　者：邵必林[1] 吴琼[1] 

机构地区：[1]西安建筑科技大学管理学院

出　　处：《金属矿山》2012年第11期9-13,共5页Metal Mine

基　　金：陕西省自然科学青年基金项目(编号:2011JQ7016);西安市科技计划项目(编号:CX1253④)

摘　　要：矿产项目的投资被看成是一份延期的看涨期权。针对传统DCF法的缺陷,以钼矿为例,通过改进三叉树期权定价模型,构建了最佳投资时机下确立栏杆价格的理论方法,并以实际数据进行了期权定价模拟,表明了方法的可靠性。同时依据金属矿山的特点,将价格波动对于边界品位、矿石储量、服务年限等因素的影响予以量化,提升了期权理论对于矿业项目投资决策的准确度。The project of mining investment could be regarded as a relayed call option. Aiming at the defects of the traditional discounted cash flow （DCF） method,a trinomial tree pricing model of the real option is improved in the case of Molybdenum ore. A theoretical method for the hurdle price under the best investment timing is constructed. The real data is used to simulate the option pricing, and the result show that this method is reliable and practical. Meanwhile, according to the characteristics of the metal mine, the influence of price fluctuation on the cut-off grade, reserve estimation, mine service life is quantified to enhance the accuracy for mining investment by the option theory.

关 键 词：实物期权 三叉树模型 栏杆价格 边界品位 

分 类 号：TD853[矿业工程—金属矿开采]