基于Black-Shcoles模型的一类矿井生产函数的煤炭开采权的期权定价研究  

Research of coal mining option of the production function of a certain coal pit based on Black-Shcoles model

作　　者：沈洪[1] 向阳[1] 王赢[2] 

机构地区：[1]山东科技大学经济管理学院,山东泰安271019 [2]山东科技大学信息科学与工程学院,山东泰安271019

出　　处：《煤炭学报》2003年第3期332-336,共5页Journal of China Coal Society

基　　金：山东省自然科学基金资助项目(Y2000G04)

摘　　要：期权方法的应用研究已越来越受到人们的重视,其应用领域也越来越广.但其推广应用中还存在着许多问题,其中一个关键的问题是,在描述实物标的资产价值变化规律时无统一的模型,须根据具体情况建立模型.对此,笔者试图给出描述一类煤炭生产函数的通式,以此获得这类煤炭开采权的期权价值,从而为煤炭开采权的定价提供一般意义上的可供参考的模型.The research of application of option methodology has been attached great importance and has been used in a wide area In the process of popularizing and using it, there is still exist many problems, one of which is that there has no uniform model when determining the principle of the variation of underlying assets, and a new model has to be established in accordance with the specific problems Hence, this article is trying to give a general way to describe the production function of coal mining in order to obtain the value of coal mining option and provide a common model as can be referenced to price the coal mining option

关 键 词：煤炭开采权 期权定价 B1ack—Shcoles模型 矿井生产函数 

分 类 号：F407.21[经济管理—产业经济]