应用实物期权定价理论的煤炭资源投资价值评估  

Application of real option pricing theory to evaluation of coal resources investment projects

作　　者：张能福[1] 蔡嗣经[2] 

机构地区：[1]安徽理工大学资源管理系,安徽淮南232001 [2]北京科技大学资源工程学院,北京100083

出　　处：《煤炭学报》2002年第3期329-332,共4页Journal of China Coal Society

基　　金：安徽省教育厅自然科学基金资助项目 (2 0 0 1KJ2 0 7)

摘　　要：煤炭资源项目投资具有投资建设时间长、投资不可逆性和较高的不确定性的特点 .传统的投资项目价值评估方法一般采用净现值法或折现现金流法 ,但该方法未能考虑由于矿山投资项目投资时间长 ,价格波动大等有关的不确定性因素 ,而这些不确定因素形成了矿山投资项目的投资机会价值 ,因而常常低估了矿业工程的投资价值 .应用实物期权定价的理论和方法 ,讨论了投资项目在不确定性因素下的投资机会价值 ,并结合煤炭资源投资项目的特点 ,分析了矿山投资项目建设期对投资价值的影响 ,建立了投资机会价值的评估模型 ,为煤炭资源项目的投资决策提供了一种新的方法 .Investment in coal resources engineering projects has characteristics of long investment period, irreversibility and high uncertainty. Traditional evaluation method for these projects investment is Net Present Value (NPV) or Discounted Cash Flow (DCF) method. This method cannot be involved the coal resources investment uncertainty produced by long investment peroid, great price fluctuation and etc. Therefore it overlooks investment opportunity value of mining projects and underestimates the investment value of coal resources engineering projects. Based on the Real Option Pricing Theory, investment opportunity value under uncertainty is discussed and the models for valuing investment opportunity with characteristics of coal resources projects investment are set up as a new method for investment decision making.

关 键 词：实物期权定价理论 矿业资源 不确定性 矿业工程 评估模型 

分 类 号：F407.21[经济管理—产业经济]