基于期权的煤炭资源采矿权估价方法研究
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摘要
煤炭资源采矿权的有偿取得和转让是社会主义市场经济发展的客观必然,科学合理有效地对煤炭资源采矿权进行估价,是煤炭资源采矿权有偿取得和转让的关键和前提。现行的以现金流量法为主的煤炭资源采矿权估价方法忽视煤炭资源开发过程中的“经营柔性”,常常低估煤炭资源采矿权价值,从而不能充分体现煤炭资源所有者的权益,更严重的是助长了煤炭生产企业的资源浪费行为。因此,建立一种能考虑和处理煤炭资源开发过程中的“经营柔性”的采矿权估价方法显得尤为紧迫。由Black、Scholes和Merton在20世纪70年代初创立的期权定价理论为估价煤炭资源开发中的“经营柔性”的价值奠定了理论基础。本文运用期权定价理论对煤炭资源采矿权估价方法进行了系统研究,取得了以下主要研究成果:
(1)揭示了基于期权的煤炭资源采矿权价值形成机理
已有的基于期权的煤炭资源采矿权估价方法研究回避价值形成机理研究,本文研究发现煤炭资源采矿权具有和股票看涨期权一样的期权特性,本质上是一种按年度执行的多期看涨期权;由于它的标的资产是煤炭资源储量,所以它是一种实物期权,对煤炭资源采矿权估价就是确定这种实物期权的价值。影响煤炭资源采矿权价值的因素主要有煤炭价格、煤炭开采完全成本、煤炭资源储量价格、煤矿资本资产投资机会成本、采矿权持有时间、煤炭价格波动率、无风险利率以及便利收益等,其中煤炭资源储量价格的变化过程决定着煤炭资源采矿权的价值形成路径。
(2)建立了基于HJM利率过程或便利收益服从均值回复过程的煤炭资源采矿权估价双因素模型
已有的基于期权的煤炭资源采矿权估价方法研究假定无风险利率固定不变,这与现实不符。本文提出利用HJM利率模型建立采矿权估价方法更符合我国资本市场和较长的采矿权持有期限的实际情况,据此建立了基于HJM利率过程的煤炭资源采矿权估价双因素模型。界定了便利收益的内涵及其对煤炭资源采矿权价值的影响,并分析得出:煤炭现货的便利收益也为煤炭资源储量获取的便利收益,据此建立了便利收益服从均值回复过程的煤炭资源采矿权估价双因素模型。
(3)建立了煤炭资源储量价格、利率和便利收益均服从随机过程的煤炭资源采矿权估价三因素模型
实证研究结果发现在正常情况下,几何布朗运动能较好拟合我国煤炭价格的变动过程,据此建立了煤炭价格服从几何布朗运动、利率为HJM过程和便利收益服从均值回复过程的煤炭资源采矿权估价三因素模型;当存在突发事件时,跳跃-扩散过程能较好地拟合我国煤炭价格的变动过程,据此建立了煤炭价格服从跳跃-扩散过程、利率为HJM过程和便利收益服从均值回复过程的煤炭资源采矿权估价三因素模型。
(4)提出了基于期权的煤炭资源开发税费政策改革建议
现行的煤炭资源税和资源补偿费政策助长了煤炭生产企业的资源浪费行为,是造成我国煤炭资源开发中存在问题的制度根源。把政策着力点放在资源上而不是产品上,让采矿权价款充分体现资源所有者权益才是煤炭资源开发税费政策改革的方向。在此基础上,提出了“以基于期权的估价方法作为我国煤炭资源采矿权评估的主要方法,以权利金(采矿权价款)代替现行资源税和资源补偿费,并建立我国煤炭期货市场和煤炭资源采矿权价款共享机制”的煤炭资源开发税费政策改革建议。
这些研究成果将为我国煤炭资源采矿权的价值评估以及有偿出让和转让提供方法上的支持,同时也将为我国煤炭资源开发税费政策的制定提供决策依据。
It is a natural necessity to acquire and transfer coal resources mininng rights at some price in improvement of socialist market economy. Evaluating coal resources mining rights scientifically and effectively is a key and precondition of acquireing and transfering. The current coal resources mining rights evaluation method, centered on DCF, ignores“operational flexibility”in the process of developing coal resources, and undervalues coal resources mining rights so that it can not full embody the owners’rights and benefits. More serious consequence is that it fosters coal enterprises’extravagant development. Therefore it’s urgent to set up a coal mining rights evaluating method which can consider and deal with“operation flexibility”. Option evaluation theories set up by Black, Scholes and Merton in early 1970s lays a theoretical foundation to the evaluation of“operation flexibility”. This thesis applies it to the study of coal resources mining rights evaluation method and achieved some fruits as follows:
(1) Reveal the value formation mechanism of coal resources mining rights based on options
The current coal resources mining rights evaluation method of coal resources mining rights based on option avoids the research on the mechanism of price formation. This thesis discover that coal resources mining rights has the same characteristics as option, which is a multi-periods call option exercised annually. For its underlying assert is coal resources reserve, coal resources mining rights is actually a real option. To evaluate coal resources mining rights is to determine the value of the real option. The factors to affect the value of coal resources mining rights are the price of coal resource, the full cost of coal mining, the value of coal reserve, the opportunity cost of coal mine investment, the holding term of coal mining rights, the fluctuating rate of coal reserve value, risk-free rate, and convenience yield. Moreover, the formation path of coal mining rights depends on the changing process of coal reserve price
(2) Set up a two-factor model of coal resources mining rights evaluation when interest rate and convenience yield respectively follow stochastic movement.
The current mining rights evaluation method based on option assumes risk-free rate to be constant, which does not fit in practical circumstances. This thsis put forward that using HJM process to structure mining rights evaluation model can accord with practical circumstances of Chinese capital market and the long holding term of coal mining rights. Based on this, set up the two-factor model of coal resources mining rights evaluation based on HJM process. Define the connotation of convenience yield and its influence on coal mining rights value and through analysis conclude that the convenience yield of coal spot also belongs to the convenience yield of coal resource reserve. Based on this, set up the two-factor model of coal resources mining rights evaluation when convenience yield follows mean-reverting process.
(3) Set up respectively three-factor models of coal mining rights evaluation when coal price, interest rate and convenience yield follow stochastic process.
Through the research on a real example, discover that in normal ciercumstances GBM can better fit the changing process of coal resource reserve price. Based on this, set up three-factor models of coal mining rights evaluation when coal price follows GBM, interest rate is the process of HJM and convenience yield follows mean-reverting process. If there are a lot of abrupt events, jump-diffusion process can better fit the changing tendency of coal price. Based on this, set up three-factor models when coal price follows jump-diffusion process, interest rate is the process of HJM and convenience yield follows mean-reverting process.
(4) Put forward some suggestions on resource developing taxes.
The current policy of coal resource tax and resource compensation fee fortsers coal enterprises’extravagant development and is also the root of causing the problems coal resource development. Put the emphasis of policies on resource instead of products so as to make the price of coal mining rights fully embodies the rights and interests of the resource owner. Theses are the directions of reforming the policies of coal resource developing tax. On this basis, put forward the suggestions such as making the evaluation method based on option become the main method to evaluate coal mining rights, collecting only premium instead of resource tax, building Chinese coal future market and the sharing mechanism of coal resource mining rights price and so on.
Such researches gives support on methods to the evaluation of coal resource mining rights and repayable selling, and provide the decision basis for the formulation of the policy of Chinese coal resource developing tax.
(1)揭示了基于期权的煤炭资源采矿权价值形成机理
已有的基于期权的煤炭资源采矿权估价方法研究回避价值形成机理研究,本文研究发现煤炭资源采矿权具有和股票看涨期权一样的期权特性,本质上是一种按年度执行的多期看涨期权;由于它的标的资产是煤炭资源储量,所以它是一种实物期权,对煤炭资源采矿权估价就是确定这种实物期权的价值。影响煤炭资源采矿权价值的因素主要有煤炭价格、煤炭开采完全成本、煤炭资源储量价格、煤矿资本资产投资机会成本、采矿权持有时间、煤炭价格波动率、无风险利率以及便利收益等,其中煤炭资源储量价格的变化过程决定着煤炭资源采矿权的价值形成路径。
(2)建立了基于HJM利率过程或便利收益服从均值回复过程的煤炭资源采矿权估价双因素模型
已有的基于期权的煤炭资源采矿权估价方法研究假定无风险利率固定不变,这与现实不符。本文提出利用HJM利率模型建立采矿权估价方法更符合我国资本市场和较长的采矿权持有期限的实际情况,据此建立了基于HJM利率过程的煤炭资源采矿权估价双因素模型。界定了便利收益的内涵及其对煤炭资源采矿权价值的影响,并分析得出:煤炭现货的便利收益也为煤炭资源储量获取的便利收益,据此建立了便利收益服从均值回复过程的煤炭资源采矿权估价双因素模型。
(3)建立了煤炭资源储量价格、利率和便利收益均服从随机过程的煤炭资源采矿权估价三因素模型
实证研究结果发现在正常情况下,几何布朗运动能较好拟合我国煤炭价格的变动过程,据此建立了煤炭价格服从几何布朗运动、利率为HJM过程和便利收益服从均值回复过程的煤炭资源采矿权估价三因素模型;当存在突发事件时,跳跃-扩散过程能较好地拟合我国煤炭价格的变动过程,据此建立了煤炭价格服从跳跃-扩散过程、利率为HJM过程和便利收益服从均值回复过程的煤炭资源采矿权估价三因素模型。
(4)提出了基于期权的煤炭资源开发税费政策改革建议
现行的煤炭资源税和资源补偿费政策助长了煤炭生产企业的资源浪费行为,是造成我国煤炭资源开发中存在问题的制度根源。把政策着力点放在资源上而不是产品上,让采矿权价款充分体现资源所有者权益才是煤炭资源开发税费政策改革的方向。在此基础上,提出了“以基于期权的估价方法作为我国煤炭资源采矿权评估的主要方法,以权利金(采矿权价款)代替现行资源税和资源补偿费,并建立我国煤炭期货市场和煤炭资源采矿权价款共享机制”的煤炭资源开发税费政策改革建议。
这些研究成果将为我国煤炭资源采矿权的价值评估以及有偿出让和转让提供方法上的支持,同时也将为我国煤炭资源开发税费政策的制定提供决策依据。
It is a natural necessity to acquire and transfer coal resources mininng rights at some price in improvement of socialist market economy. Evaluating coal resources mining rights scientifically and effectively is a key and precondition of acquireing and transfering. The current coal resources mining rights evaluation method, centered on DCF, ignores“operational flexibility”in the process of developing coal resources, and undervalues coal resources mining rights so that it can not full embody the owners’rights and benefits. More serious consequence is that it fosters coal enterprises’extravagant development. Therefore it’s urgent to set up a coal mining rights evaluating method which can consider and deal with“operation flexibility”. Option evaluation theories set up by Black, Scholes and Merton in early 1970s lays a theoretical foundation to the evaluation of“operation flexibility”. This thesis applies it to the study of coal resources mining rights evaluation method and achieved some fruits as follows:
(1) Reveal the value formation mechanism of coal resources mining rights based on options
The current coal resources mining rights evaluation method of coal resources mining rights based on option avoids the research on the mechanism of price formation. This thesis discover that coal resources mining rights has the same characteristics as option, which is a multi-periods call option exercised annually. For its underlying assert is coal resources reserve, coal resources mining rights is actually a real option. To evaluate coal resources mining rights is to determine the value of the real option. The factors to affect the value of coal resources mining rights are the price of coal resource, the full cost of coal mining, the value of coal reserve, the opportunity cost of coal mine investment, the holding term of coal mining rights, the fluctuating rate of coal reserve value, risk-free rate, and convenience yield. Moreover, the formation path of coal mining rights depends on the changing process of coal reserve price
(2) Set up a two-factor model of coal resources mining rights evaluation when interest rate and convenience yield respectively follow stochastic movement.
The current mining rights evaluation method based on option assumes risk-free rate to be constant, which does not fit in practical circumstances. This thsis put forward that using HJM process to structure mining rights evaluation model can accord with practical circumstances of Chinese capital market and the long holding term of coal mining rights. Based on this, set up the two-factor model of coal resources mining rights evaluation based on HJM process. Define the connotation of convenience yield and its influence on coal mining rights value and through analysis conclude that the convenience yield of coal spot also belongs to the convenience yield of coal resource reserve. Based on this, set up the two-factor model of coal resources mining rights evaluation when convenience yield follows mean-reverting process.
(3) Set up respectively three-factor models of coal mining rights evaluation when coal price, interest rate and convenience yield follow stochastic process.
Through the research on a real example, discover that in normal ciercumstances GBM can better fit the changing process of coal resource reserve price. Based on this, set up three-factor models of coal mining rights evaluation when coal price follows GBM, interest rate is the process of HJM and convenience yield follows mean-reverting process. If there are a lot of abrupt events, jump-diffusion process can better fit the changing tendency of coal price. Based on this, set up three-factor models when coal price follows jump-diffusion process, interest rate is the process of HJM and convenience yield follows mean-reverting process.
(4) Put forward some suggestions on resource developing taxes.
The current policy of coal resource tax and resource compensation fee fortsers coal enterprises’extravagant development and is also the root of causing the problems coal resource development. Put the emphasis of policies on resource instead of products so as to make the price of coal mining rights fully embodies the rights and interests of the resource owner. Theses are the directions of reforming the policies of coal resource developing tax. On this basis, put forward the suggestions such as making the evaluation method based on option become the main method to evaluate coal mining rights, collecting only premium instead of resource tax, building Chinese coal future market and the sharing mechanism of coal resource mining rights price and so on.
Such researches gives support on methods to the evaluation of coal resource mining rights and repayable selling, and provide the decision basis for the formulation of the policy of Chinese coal resource developing tax.
引文
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