基于多阶段复合实物期权的页岩气投资决策研究  

Study on the Investment Decision of Shale Gas Based on Multi-stage Compound Real Option

作　　者：苏素[1] 黄莉华[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《价值工程》2017年第20期241-242,共2页Value Engineering

摘　　要：本文首先对页岩气勘探开发项目的投资特征进行了分析,发现其具有以下几个特点:(1)投资不可逆性。(2)价值不确定性。(3)投资时机选择的具有灵活性。(4)多阶段性。然后,结合复合实物期权理论以及页岩气投资市场的现实状况,建立了考虑变波动率的页岩气勘探开发投资决策模型,并阐述了该模型在页岩气项目投资决策运用的基本思路及其意义。This paper first analyzes the investment characteristics of shale gas exploration and development projects, finding the following characteristics： irreversibility of investment; value uncertainty; flexibility of the investment timing choice; multi -stage. Then, combined with compound real option theory and the actual situation of shale gas investment market, it establishes shale gas exploration and development investment decision model in consideration of variable volatility, and expounds the basic ideas and significance of the use of this model in shale gas project investment and decision making.

关 键 词：页岩气 复合实物期权 多阶段 变波动率 投资决策 

分 类 号：F426[经济管理—产业经济]