基于期权博弈理论的采矿权拍卖定价分析

Price analysis of mining rights auction based on option games theory

采用期权定价理论对包含实物期权的采矿权价值进行评估,继而利用博弈论的研究方法研究不确定条件下不同投资者之间策略互动,最后给出拍卖项目定价的一般表达式.研究结果表明:参与投标的企业报价时应考虑投资项目的期权价值,如果可以找到供复制的基础资产,则可根据本文推出的表达式计算投标报价;如果没有这样的基础资产,则企业在报价时应至少使价格大于不包含期权价值的投资项目预期收益,以增加中标的可能性;投资权分配采用拍卖机制实际上降低了企业等待投资的期权价值,亦即降低了投资等待的价值,企业更容易作出投资决定,从而可以比垄断条件下更有效地刺激社会投资.

Firstly, the value of mining rights which including the value of real options was assessed by using of option games theory, then the strategic interaction under uncertainty between different investors was discussed by introducing game theory. The expression of optimal trigger point for firms who participated in auction was obtained. The results show that the company which involved in auction should take the option value into consideration when they price for the program. If the basic assets can be find out, they may use the expression we derived to calculate the auction price; if not, then, in order to increase the possibility of getting successful bidder, the price which company supply should at least exceed the expected proceeds without any option value. Additionally, the introduction of auction into mining rights distribution actually lower the value of options of firms who are waiting the opportunity to invest, then optimal investment triggers of firms is lowered. So auction mechanism in mining rights distribution makes the decision of investment more easily and can stimulus the investment effectively.