不确定条件下的资源开发

Continuous-time Model of Resources Development under the Indeterminate Conditions

本文提出并详细分析一个不确定条件下资源开发的连续时间模型。该模型中,开发商必须决定何时对资源进行开发。资源开发的投资成本I是已知且固定的,但项目价值V服从带跳的几何布朗运动。传统的净现值(NPV)规则是只要V>I就开发,经本文证明是不正确的。因为资源的未来值(V)是未知的,现在就开发有机会成本。因此,最优开发规则是当V至少超过I的某一临界值V一样大时才开发。文中所提及的合理的参数值,这一临界值可能会是I的好几倍。由此证明传统的净现值(NPV)规则是错误的。

The article assumes and analyzes in detail a continuous-time model of resources development under the indeterminate conditions. In this model, the development company has to determine the timing of resources development. As known to all, the investment cost ＇ I＇ of resources development is given and fixed, while the project value ＂V＂ must obey the ＇Brown Movement＇ with jumping. The traditional ＇Net Present Value＇ （ ＇ NPV＇ ） Rule stands for starting development so long as ＇ V 〉 I＇, which has been proved to be incorrect by this article. Because the future value （ ＇V＇ ） is unknown, whereas the opportunity cost will come up if the development commences now. Therefore, the best action rule goes to commencing the development only when the value of ＇ V＇ equals to or exceeds the critical value （ ＇ V ＊ ＇ ） of ＇ I＇. The critical value mentioned in the article may be quite a few times of the value of ＇ I ＇, which is regarded as reasonable. There from proving the traditional ＇ Net Present Value＇ （ ＇ NPV＇ ） Rule is incorrect.