基于实物期权的矿产资源采矿权定价模型及其实证  

Pricing Model of Mining Rights of Mineral Resources Based on Real Option and Positive Analysis

作　　者：张高勋 秦春艳[2] 曹茜 ZHANG Gao-xun1, QIN Chun-yan2 ,CAO Qiana(1. School of Science, Southwest University of Science and Technology, Sichuan Mianyang 621010, China; 2. Tianfu college of SWUFE, Sichuan Mianyang 621000, China; 3. School of Economic and Management of UESTC, Sichuan Chengdu 611731, Chin)

机构地区：[1]西南科技大学理学院,四川绵阳621010 [2]西南财经大学天府学院,四川绵阳621000 [3]电子科技大学经济与管理学院,四川成都611731

出　　处：《数理统计与管理》2018年第3期509-519,共11页Journal of Applied Statistics and Management

基　　金：国家自然科学基金青年项目(71702156);教育部人文社科研究基金青年项(17YJC630098);西南科技大学博士研究基金项目(15zx7139)

摘　　要：科学合理地对矿产资源采矿权进行估价是防止国有资产流失的前提，是矿产资源可持续开发的核心问题之一。现金流量法不能体现资源开采者在经营策略上的灵活性或柔性，容易低估采矿权的价值，造成资源浪费和资源配置效率低下。本文依据实物期权理论，综合Copula函数技术和GARCH模型两方面的优势，运用等价鞅测度方法，建立了基于便利收益和现货价格的Copula-GARCH矿产资源采矿权定价模型，实证表明：本文模型较DCF方法更能体现资源所有者的权益。A scientific assessment of mining rights is a predisposition of preventing the loss of state assets and a key to the sustainable exploration of mineral resources. The current pricing method of mining rights which mainly adopts the Discount Cash Flow （DCF） method does not consider explorer＇s management flexibility and is likely to cause the underestimate of mining rights, a waste of resources and the inefficiency of resource allocation. Based on the real option theory, this paper integrates the strengths of Copula technology and GARCH model and applies equivalent martingale measure approach to build a Copula-GARCH model on the basis of convenience yield and spot price. Compared to DCF method, the Copula-GARCH option model is proven to be more beneficial to the owner of resources in empirical studies.

关 键 词：采矿权 便利收益 COPULA函数 鞅定价 

分 类 号：F830.9[经济管理—金融学] O212[理学—概率论与数理统计]