基于实物期权的煤炭资源开发项目评价模型研究
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摘要
煤炭资源是一种耗竭性的不可再生资源,随着我国国民经济的快速发展,煤炭需求得以快速增长。因此,必须通过新建或改扩建煤矿等煤炭资源开发项目来增加煤炭产能。传统的以DCF为主的项目评价方法由于存在着忽视煤炭价格、利率、开采成本等不确定性以及“灵活性”的固有缺陷,常常低估煤炭资源开发项目价值。因此,迫切需要建立一种能反映煤炭资源投资不确定性和柔性的煤炭资源开发项目评价方法。本文运用实物期权评价理论对煤炭资源开发项目评价方法进行了研究,取得了以下研究成果:
(1)揭示了基于实物期权的煤炭资源开发项目价值形成机理。分析了煤炭资源开发项目期权特性,提出煤炭资源开发过程实际上是由停启期权、延迟期权、扩张期权等一系列实物期权构成的,评价煤炭资源开发项目价值就是评价由上述期权构成的多阶段复合期权的价值。分析了煤炭资源开发项目价值影响因素,主要包括煤炭价格、利率、便利收益、煤炭开发成本等。提出了“煤炭资源开发项目价值=NPV价值+灵活性价值”的煤炭资源开发项目价值构成内容。
(2)建立了煤炭价格、利率、便利收益均随机变动下的煤炭资源开发项目评价方法。解析了煤炭价格、利率、便利收益变动对煤炭资源开发项目价值的影响过程,分析了煤炭价格、利率、便利收益的随机变动模型。在此基础上,建立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开发项目评价模型。
通过一实例,对上述研究成果加以运用,结果表明基于实物期权的煤炭资源开发项目价值评价方法由于能充分处理不确定信息和反映经营柔性,其评价结果远远高于DCF方法,也和项目的实际价值相吻合。
Coal is an exhaustible and non-renewable resource. As the speedy development of national economy, demand for coal increases rapidly. Therefore, it must improve the coal growth by making or reconstructing a coal resources development project. The traditional evaluation method, based mainly on DCF, usually undervalues the value of coal resources development project, because it always neglects the flexibilities and the uncertainties of coal price, interest rate and production cost, etc. As a result, it cries out for building an evaluation method of coal resources investment project to reflect the uncertainties and flexibilities. So this paper studies on the evaluation method of coal resources investment project based on real option. The results of this research are as follows:
(1) Reveals the formation mechanism of coal resources investment project based on real option. This paper analyzes the options properties of coal resources investment project, and proves that the process of coal resources development is actually composed of option to shut down and restart, option to defer, option to expand, etc. Meanwhile, it proves that to evaluate the value of coal resources investment project is to evaluate the value of the compound option composed of the options mentioned above. What’s more, the paper analyzes the main factors affecting option value are coal price, interest rate, convenience yield, development cost and so on. Then it puts over that the value of coal resources investment project is equal to the sum of NPV and Option Premium.
(2) Sets up evaluation model of coal resources development project when coal price、interest rate and convenient yield respectively follow stochastic movement. Analyzes the influence on coal resources investment project by those factors, and analyzes the stochastic movement model of them. On this basis, sets up the evaluation model of coal resources investment project when coal price follows GBM, interest rate is the process of HJM and convenience yield follows mean-reverting process.
Uses the model built before by an example. The results show that the value is far more than NPV and it is approximately consistent with practical value, because the evaluation method of coal resources investment project based on real option could full deal with the uncertain informations and operating flexibilities
(1)揭示了基于实物期权的煤炭资源开发项目价值形成机理。分析了煤炭资源开发项目期权特性,提出煤炭资源开发过程实际上是由停启期权、延迟期权、扩张期权等一系列实物期权构成的,评价煤炭资源开发项目价值就是评价由上述期权构成的多阶段复合期权的价值。分析了煤炭资源开发项目价值影响因素,主要包括煤炭价格、利率、便利收益、煤炭开发成本等。提出了“煤炭资源开发项目价值=NPV价值+灵活性价值”的煤炭资源开发项目价值构成内容。
(2)建立了煤炭价格、利率、便利收益均随机变动下的煤炭资源开发项目评价方法。解析了煤炭价格、利率、便利收益变动对煤炭资源开发项目价值的影响过程,分析了煤炭价格、利率、便利收益的随机变动模型。在此基础上,建立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开发项目评价模型。
通过一实例,对上述研究成果加以运用,结果表明基于实物期权的煤炭资源开发项目价值评价方法由于能充分处理不确定信息和反映经营柔性,其评价结果远远高于DCF方法,也和项目的实际价值相吻合。
Coal is an exhaustible and non-renewable resource. As the speedy development of national economy, demand for coal increases rapidly. Therefore, it must improve the coal growth by making or reconstructing a coal resources development project. The traditional evaluation method, based mainly on DCF, usually undervalues the value of coal resources development project, because it always neglects the flexibilities and the uncertainties of coal price, interest rate and production cost, etc. As a result, it cries out for building an evaluation method of coal resources investment project to reflect the uncertainties and flexibilities. So this paper studies on the evaluation method of coal resources investment project based on real option. The results of this research are as follows:
(1) Reveals the formation mechanism of coal resources investment project based on real option. This paper analyzes the options properties of coal resources investment project, and proves that the process of coal resources development is actually composed of option to shut down and restart, option to defer, option to expand, etc. Meanwhile, it proves that to evaluate the value of coal resources investment project is to evaluate the value of the compound option composed of the options mentioned above. What’s more, the paper analyzes the main factors affecting option value are coal price, interest rate, convenience yield, development cost and so on. Then it puts over that the value of coal resources investment project is equal to the sum of NPV and Option Premium.
(2) Sets up evaluation model of coal resources development project when coal price、interest rate and convenient yield respectively follow stochastic movement. Analyzes the influence on coal resources investment project by those factors, and analyzes the stochastic movement model of them. On this basis, sets up the evaluation model of coal resources investment project when coal price follows GBM, interest rate is the process of HJM and convenience yield follows mean-reverting process.
Uses the model built before by an example. The results show that the value is far more than NPV and it is approximately consistent with practical value, because the evaluation method of coal resources investment project based on real option could full deal with the uncertain informations and operating flexibilities
引文
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