基于期权理论的油气田工程投资决策分析
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摘要
本文分析借鉴国内外期权理论,建立一套油气田工程全生命周期管理的实物期权理论和方法。
首先是理论分析。论述了期权理论,阐述了实物期权的基本方法和期权定价主要参数,对比了实物期权方法与传统经济评价方法,分析了实物期权理论在石油勘探开发中研究和应用,说明了实物期权法适用条件和应用中存在问题。其次是构建模型。详细研究了油气田工程的概念和主要内容,包括勘探工程、开发工程、生产改造工程、废弃工程。构建了油气田勘探工程二叉树期权价值模型,举例说明了推迟期权、增长期权和放弃期权计算方法,对比了净现值法计算结果。着重研究了偏微分方程定价模型的构建方法,推导了期权定价基本模型,建立了油气田开发工程投资期权价值模型,分析了起始投资油价和最优投资油价对开发工程投资决策的影响。建立了油气田生产改造工程投资期权价值模型,研究了起始投资油价和最优投资油价对生产改造工程投资决策的影响。建立了油气田废弃工程期权价值模型,得出最优投资临界油价和最优废弃临界油价。分析了油价波动率、无风险利率和便利收益三个经济参数变化对油气田开发工程、生产改造工程和废弃工程投资决策的影响情况。
最后是期权应用环境分析。从国际和国内两个方面分析了实施油气田工程期权的技术环境,探讨了期权应用的法律法规环境,提出了三点建议。
研究成果主要创新点有三个方面。一是将期权理论和思维方式引入到油气田工程投资管理领域,在传统的投资决策不确定性分析中新增加一项期权分析,丰富和完善了油气田工程投资管理理论体系。二是提出了一种新的油气田开发工程分类方法和体系,将油气田工程全生命周期分为勘探、开发、生产、报废四个阶段,包含油气田勘探工程、开发工程、生产改造工程和废弃工程。三是首次系统地建立起一套油气田工程全生命周期的实物期权理论和方法,使得油气田工程的经济评价更符合实际,投资决策更科学。本文研究成果对于完善油气田工程投资管理理论体系、提高石油工业上游的投资决策管理水平具有重大意义。
Based on global options theories,a set of Real Options Approaches (ROA) has been proposed to life cycle of Oil and Gas Field Projects (OGFP) in this dissertation.
It first of all is theory analysis. This dissertation discusses options theories,and gives out the basic methods of ROA and the main parameters of options pricing. It also analyses and compares ROA together with traditional economic evaluation means,and shows the research and application of ROA in petroleum exploration and development,and explains the applicable conditions of ROA and existing problems in ROA..
Secondly,models are formed. A new concept of OGFP is defined in detail,and its main contents include Petroleum Exploration Project (PEP),Petroleum Development Project (PDP),Petroleum Reconstruction Project (PRP),Petroleum Abandonment Project (PAP). In the binomial model of options pricing constructing for PEP,this dissertation illustrates the delay options,the growth options,the abandon options,and compares them with Financial Net Present Value. In addition, it emphasizes construction of the options worth models with a partial differential equation,and derives the fundamental models of options pricing. In the options worth model of PDP formed,an effect on PDP investment decision-making due to break-even oil price and optimal oil price is investigated in this dissertation. Constructing the options worth model of PRP ,this dissertation studies an effect on PRP investment decision-making due to break-even oil price and optimal oil price. In the options worth model of PAP established,an optimal critical oil price for investment and an optimal critical oil price for abandonment are derived out. This dissertation also analyzes the effect on investment decision-making due to oil price volatility,risk-free interest rate and dividend yield for PDP,PRP and PAP.
Finally,an applicable environment is discussed. This dissertation analyzes the internal and international technology conditions for options applying to OGFP, and discusses the law conditions, and also gives three pieces of advice.
There are 3 innovations in this dissertation. 1. It is first that options theory and thinking are drawn up the OGFP field,adding newly the options analysis approach to traditional uncertainty analysis of investment decision-making in OGFP. 2. A new class means and system of OGFP is established,including 4 phases (exploration,development, production,and abandonment) and 4 projects (PEP,PDP,PRP,PAP). 3. It firstly is founded that a set of ROA for life cycle of OGFP. The study result from this dissertation could make the economic evaluation and investment decision-making more scientifically,and have great significance for improving the management theory system of OGFP and the investment decision-making control level of the upstream petroleum industry.
首先是理论分析。论述了期权理论,阐述了实物期权的基本方法和期权定价主要参数,对比了实物期权方法与传统经济评价方法,分析了实物期权理论在石油勘探开发中研究和应用,说明了实物期权法适用条件和应用中存在问题。其次是构建模型。详细研究了油气田工程的概念和主要内容,包括勘探工程、开发工程、生产改造工程、废弃工程。构建了油气田勘探工程二叉树期权价值模型,举例说明了推迟期权、增长期权和放弃期权计算方法,对比了净现值法计算结果。着重研究了偏微分方程定价模型的构建方法,推导了期权定价基本模型,建立了油气田开发工程投资期权价值模型,分析了起始投资油价和最优投资油价对开发工程投资决策的影响。建立了油气田生产改造工程投资期权价值模型,研究了起始投资油价和最优投资油价对生产改造工程投资决策的影响。建立了油气田废弃工程期权价值模型,得出最优投资临界油价和最优废弃临界油价。分析了油价波动率、无风险利率和便利收益三个经济参数变化对油气田开发工程、生产改造工程和废弃工程投资决策的影响情况。
最后是期权应用环境分析。从国际和国内两个方面分析了实施油气田工程期权的技术环境,探讨了期权应用的法律法规环境,提出了三点建议。
研究成果主要创新点有三个方面。一是将期权理论和思维方式引入到油气田工程投资管理领域,在传统的投资决策不确定性分析中新增加一项期权分析,丰富和完善了油气田工程投资管理理论体系。二是提出了一种新的油气田开发工程分类方法和体系,将油气田工程全生命周期分为勘探、开发、生产、报废四个阶段,包含油气田勘探工程、开发工程、生产改造工程和废弃工程。三是首次系统地建立起一套油气田工程全生命周期的实物期权理论和方法,使得油气田工程的经济评价更符合实际,投资决策更科学。本文研究成果对于完善油气田工程投资管理理论体系、提高石油工业上游的投资决策管理水平具有重大意义。
Based on global options theories,a set of Real Options Approaches (ROA) has been proposed to life cycle of Oil and Gas Field Projects (OGFP) in this dissertation.
It first of all is theory analysis. This dissertation discusses options theories,and gives out the basic methods of ROA and the main parameters of options pricing. It also analyses and compares ROA together with traditional economic evaluation means,and shows the research and application of ROA in petroleum exploration and development,and explains the applicable conditions of ROA and existing problems in ROA..
Secondly,models are formed. A new concept of OGFP is defined in detail,and its main contents include Petroleum Exploration Project (PEP),Petroleum Development Project (PDP),Petroleum Reconstruction Project (PRP),Petroleum Abandonment Project (PAP). In the binomial model of options pricing constructing for PEP,this dissertation illustrates the delay options,the growth options,the abandon options,and compares them with Financial Net Present Value. In addition, it emphasizes construction of the options worth models with a partial differential equation,and derives the fundamental models of options pricing. In the options worth model of PDP formed,an effect on PDP investment decision-making due to break-even oil price and optimal oil price is investigated in this dissertation. Constructing the options worth model of PRP ,this dissertation studies an effect on PRP investment decision-making due to break-even oil price and optimal oil price. In the options worth model of PAP established,an optimal critical oil price for investment and an optimal critical oil price for abandonment are derived out. This dissertation also analyzes the effect on investment decision-making due to oil price volatility,risk-free interest rate and dividend yield for PDP,PRP and PAP.
Finally,an applicable environment is discussed. This dissertation analyzes the internal and international technology conditions for options applying to OGFP, and discusses the law conditions, and also gives three pieces of advice.
There are 3 innovations in this dissertation. 1. It is first that options theory and thinking are drawn up the OGFP field,adding newly the options analysis approach to traditional uncertainty analysis of investment decision-making in OGFP. 2. A new class means and system of OGFP is established,including 4 phases (exploration,development, production,and abandonment) and 4 projects (PEP,PDP,PRP,PAP). 3. It firstly is founded that a set of ROA for life cycle of OGFP. The study result from this dissertation could make the economic evaluation and investment decision-making more scientifically,and have great significance for improving the management theory system of OGFP and the investment decision-making control level of the upstream petroleum industry.
引文
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