基于实物期权的煤炭储备开发时机选择模型

Coal reserve developed-timing model based on real option

分析了未开发煤炭储备的实物期权特征,利用期权定价方法构建了未开发煤炭储备项目开发时机选择模型,通过案例说明了模型的具体应用,以及净现值法和期权定价法对开发时机的不同影响.认为未开发煤炭储备项目的价值受煤炭市场因素波动的影响,企业应分析煤炭市场和煤炭储备价值的变化,选择最有利的开发时机,而不应当仅仅根据净现值法作出立即开发或不开发的简单结论.

Analyzed real optional characters of underdevelopment coal reserve, constructs coal reserve developedtiming model by option pricing method, demonstrated the application of the model, and the different effect on developed-timing from net present value. And thinks that the value of underdevelopment coal reserve is influenced by the fluctuations of coal market factors, firms must analyze the variability of coal market and the value of underdevelopment coal reserve to choose the best developed-timing, and should not make the simple decision to develop or not according to net present value.