实物期权的煤炭资源勘查投资项目评估模型

煤炭资源勘查是煤炭资源开发的重要前提,具有投资大、不可逆、周期长和风险大的特点。由于传统净现值法的固有缺陷,不能有效处理煤炭资源勘查投资面临的不确定性因素,进而不能合理地评估煤炭资源勘查投资项目价值。文中运用实物期权理论,建立了煤炭资源勘查成果价格随机变化下煤炭资源勘查投资项目评估模型。以陕北某矿区煤炭资源勘查投资项目为例,对该模型进行了运用。结果表明:在不确定条件下,该模型能更加科学合理地评估煤炭资源勘查投资的项目价值;敏感性分析表明,与煤炭价格波动率和资源赋存波动率相比,利率和便利收益的变化对项目价值影响更为显著。

An evaluation model for investment projects on coal resources exploration based on real option

With the characteristics of large investment,irreversibility,long life cycle and high-risk,coal resoures exploration and investment is an essential pre-requisite to ensure coal production.Due to the inherent shortcomings of traditional net present value method can not effectively tackle coal resoures exploration and investment in the face of uncertainty,thus,it can not properly assess the project of coal resoures exploration and investment at a reasonable value.Using the Real Option Theory,the paper establishes project evaluation model on coal resoures exploration and investment under random changes in the value results of the coal resource exploration.Based on the model,we take coal resoures exploration and investment projects of a mine in northern Shaanxi province as an example.The results show that the model can be more scientific and rational assessment on the value of the coal resoures exploration and investment projects under conditions of uncertainty.Compared with coal price volatility and resources hosting volatility,sensitivity analysis indicates changes in interest rates and convenience income have a more significant influence on the value of the projects.