不确定条件下矿业投资评价的实物期权方法
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摘要
我们把研究自然界中不确定性现象的数学理论和方法称作不确定性数学。如模糊概念、灰色概念,属性概念和随机概念等都是不确定性概念,实物期权擅长于研究不确定理论。不确定性投资项目往往牵涉到许多因素,其中很多因素不能定量化研究,而只能定性地研究。矿业投资评价受到经济上、技术上和政策上等不确定的因素的影响。投资评价是项目决策的重要依据之一。准确全面地对投资项目进行估价,是项目可行性研究乃至整个建设项目投资决策阶段的重要任务。传统的贴现现金流法对矿业工程投资项目的评价时,忽略了项目的不确定性因素对投资价值的影响,没有考虑目前所面临投资机会、以及项目经营柔性的价值。本研究课题以西方经济学理论为指导,借助于数学和金融理论,系统分析了矿产资源价值及其矿产资源投资评价中的有关问题,应用矿产资源价值理论、实物期权定价理论、随机过程理论,并结合数值分析与模拟方法、经济预测与决策方法和实证分析方法,建立相应的矿业投资评价模型,并对模型的参数进行了模拟和预测,同时对模型的应用进行充分的讨论。
论文首先对矿产资源的属性和价值进行了系统的分析。详细研究了矿业投资的特点,系统分析了影响矿业投资评价的十大类因素,对我国传统的矿业投资评价方法作了系统分析和研究。同时详细介绍了实物期权理论以及该理论在矿业工程投资评价中的应用。
论文其次重点分析了矿业投资评价中的不确定性因素,将这些不确定性因素归纳为经济上、技术上和政治上三类。侧重研究了各种不确定因素的数学模拟。特别是矿产品价格的随机波动行为的分析,基于期权定价理论和随机过程理论对矿产品价格的运行模式及其随机特性进行了研究,建立了矿产品的短期价格和长期均衡价格的模拟路径。应用蒙特卡洛模拟方法对矿产品的短期运行形态和长期运行形态进行模拟分析;运用季节指数法对价格进行了预测。对技术上和政治上的不确定性,论文也进行了数学模拟和定性分析。
论文最后研究了矿业工程中的管理灵活性及其价值,运用实物期权方法分别建立了不确定条件下矿业生产阶段、开发阶段和详查、普查、预查阶段的矿业投资评价模型,并运用二叉树图、有限差分逼近和Monte Carlo模拟三种数值方法对所建模型进行了求解,同时通过实例对论文的研究结果进行了佐证。
The study which studies the theory and approach of the uncertainty of the nature was known as the uncertainty math.All are the concept of uncertainty such as the fuzzy concept,the concept of gray,the concept of random and the concept attributes. The theory of real options excels in the study of uncertainty.The investment projects of Uncertainty often involve a number of factors,many of which can not study in quantitative research,but only in qualitative research.The evaluation of mining investment was affected by the uncertainties such as the economic,the technical and policy factor.The evaluation of investment projects is an important basis for decision-making one.Accurate and comprehensive evaluation of investment projects what is an important task of the feasibility study of the project,even the decision-making phase of the whole construction project investment.The traditional discounted cash flow method ignored the influence to the evaluation of the projects of the mining investment engineering,and did not have in mind the value currently facing of the investment opportunities and the flexibility to operate the project(which can all collectively referred to as the right to choose),when valued the projects of the mining investment engineering.This study subject systematic analysis the value of mineral resources and the problem of mineral resources investment evaluation,at the same time,establishes the mining investment evaluation model and simulates and predicts the parameters of the model,and discusses fully the application on the model, which was on the basis of Western economic theory and through the use of financial mathematics and theoretical,and through the application of the theory of the value of mineral resources,real option pricing theory,the theory of random process,and Combined with numerical analysis and simulation,economic forecasting and decision-making methods and empirical analysis.
It studied on the properties of mineral resources and the value of a systematic, and studied in detail the characteristics of investment in mining and 10 categories of the impact of mining investment in the evaluation in the paper.And it analyses and researched the evaluation methods of the China's traditional mining investment.And it introduced in details the real option theory and which application in the mining investment project evaluation.
Papers analysis focus on the uncertainties of mining investment evaluation,and summed up these uncertainties as three categories,i.e.,in the economic,technical and political.Research focused on the mathematical simulation of a variety of uncertainties,especially the random fluctuations in the prices of mineral.It established a short-term price of minerals and long-term equilibrium price path and studied their mode of operation and the random characteristics of minerals based on options pricing theory and the theory of random process.It studied the mineral form of short-run and long-term patterns of operation through the application of Monte Carlo simulation,and forecasted the price of the minerals through the use of seasonal price index.Papers also carried out a qualitative analysis and mathematical modeling on the technical and political uncertainties.
Papers analyzed the management flexibility and value of mining engineering, and set up the model of value of a developed mine,value of an undeveloped mine and value of an exploration project under the conditions of uncertainty with the theory of real option,and worked out the solution of model above-mentioned through three numerical methods,i.e.the Fig Tree,finite difference approximation and Monte Carlo simulation.At the same time,the paper's findings were to prove through example.
论文首先对矿产资源的属性和价值进行了系统的分析。详细研究了矿业投资的特点,系统分析了影响矿业投资评价的十大类因素,对我国传统的矿业投资评价方法作了系统分析和研究。同时详细介绍了实物期权理论以及该理论在矿业工程投资评价中的应用。
论文其次重点分析了矿业投资评价中的不确定性因素,将这些不确定性因素归纳为经济上、技术上和政治上三类。侧重研究了各种不确定因素的数学模拟。特别是矿产品价格的随机波动行为的分析,基于期权定价理论和随机过程理论对矿产品价格的运行模式及其随机特性进行了研究,建立了矿产品的短期价格和长期均衡价格的模拟路径。应用蒙特卡洛模拟方法对矿产品的短期运行形态和长期运行形态进行模拟分析;运用季节指数法对价格进行了预测。对技术上和政治上的不确定性,论文也进行了数学模拟和定性分析。
论文最后研究了矿业工程中的管理灵活性及其价值,运用实物期权方法分别建立了不确定条件下矿业生产阶段、开发阶段和详查、普查、预查阶段的矿业投资评价模型,并运用二叉树图、有限差分逼近和Monte Carlo模拟三种数值方法对所建模型进行了求解,同时通过实例对论文的研究结果进行了佐证。
The study which studies the theory and approach of the uncertainty of the nature was known as the uncertainty math.All are the concept of uncertainty such as the fuzzy concept,the concept of gray,the concept of random and the concept attributes. The theory of real options excels in the study of uncertainty.The investment projects of Uncertainty often involve a number of factors,many of which can not study in quantitative research,but only in qualitative research.The evaluation of mining investment was affected by the uncertainties such as the economic,the technical and policy factor.The evaluation of investment projects is an important basis for decision-making one.Accurate and comprehensive evaluation of investment projects what is an important task of the feasibility study of the project,even the decision-making phase of the whole construction project investment.The traditional discounted cash flow method ignored the influence to the evaluation of the projects of the mining investment engineering,and did not have in mind the value currently facing of the investment opportunities and the flexibility to operate the project(which can all collectively referred to as the right to choose),when valued the projects of the mining investment engineering.This study subject systematic analysis the value of mineral resources and the problem of mineral resources investment evaluation,at the same time,establishes the mining investment evaluation model and simulates and predicts the parameters of the model,and discusses fully the application on the model, which was on the basis of Western economic theory and through the use of financial mathematics and theoretical,and through the application of the theory of the value of mineral resources,real option pricing theory,the theory of random process,and Combined with numerical analysis and simulation,economic forecasting and decision-making methods and empirical analysis.
It studied on the properties of mineral resources and the value of a systematic, and studied in detail the characteristics of investment in mining and 10 categories of the impact of mining investment in the evaluation in the paper.And it analyses and researched the evaluation methods of the China's traditional mining investment.And it introduced in details the real option theory and which application in the mining investment project evaluation.
Papers analysis focus on the uncertainties of mining investment evaluation,and summed up these uncertainties as three categories,i.e.,in the economic,technical and political.Research focused on the mathematical simulation of a variety of uncertainties,especially the random fluctuations in the prices of mineral.It established a short-term price of minerals and long-term equilibrium price path and studied their mode of operation and the random characteristics of minerals based on options pricing theory and the theory of random process.It studied the mineral form of short-run and long-term patterns of operation through the application of Monte Carlo simulation,and forecasted the price of the minerals through the use of seasonal price index.Papers also carried out a qualitative analysis and mathematical modeling on the technical and political uncertainties.
Papers analyzed the management flexibility and value of mining engineering, and set up the model of value of a developed mine,value of an undeveloped mine and value of an exploration project under the conditions of uncertainty with the theory of real option,and worked out the solution of model above-mentioned through three numerical methods,i.e.the Fig Tree,finite difference approximation and Monte Carlo simulation.At the same time,the paper's findings were to prove through example.
引文
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