石油勘探领域期权波动率参数阶段性估算

Estimation of stage volatility in real options of petroleum exploration

对石油勘探项目实物期权应用模型中的波动率参数性质及其在计算石油勘探项目的期权价值中的作用进行了分析,提出了适合石油行业易于操作的波动率参数的计算模型。以净现值法为基础,应用蒙特卡罗原理,提出了在石油产量和市场油价随机变动条件下石油勘探项目实物期权应用模型中不同阶段的波动率参数估算方法。实例分析结果表明,该方法能够相对准确地估算出石油勘探项目实物期权模型中的阶段性波动率参数。

The properties of volatility in the model for petroleum real options and the role of volatility in calculation of petroleum option values were discussed. A practical model for estimating the volatilities in the different stages of petroleum real options was presented. The model fits the facts of petroleum industry and is easily operated. On the basis of traditional net present value method and Monte Carlo theory, a method for calculating the stage volatilities in the petroleum real option model was given. The petroleum production and market oil price were considered as two stochastic factors in the model. The analysis results demonstrate the validity of the method.