实物期权整合模型在石油勘探开发项目中的应用

Application of the integrated approach for real option valuation in an oil exploration and development project

基于决策树和二叉树的整合模型是目前比较可行的一种实物期权定价方法。该方法把影响项目经济价值的所有不确定性分为两类——市场不确定性和技术不确定性。本文利用该方法对一个位于阿塞拜疆的实际石油项目进行了评价,识别出了对项目经济性具有较大影响的5个不确定性因素(输入变量):油价、投产初期产量(Initial Production Rate)、递减率(Decline Rate)、总投资(CAPEX)和操作成本(Variable Cost)。通过分析,该项目可能存在多种实物期权。利用该整合模型并应用DPL软件建模估算了这一石油项目的扩张期权、放弃期权和复合期权的价值。

The integrated approach based on Decision Tree and Binomial Tree is a fairly viable method for real option valuation. This method divides all uncertainties influencing the economic value of a project into two categories-market uncertainty and technique uncertainty. An actual oil project in Azerbaijan is evaluated with this method in this paper. Five uncertainty factors (input variables) with great influence on project economy were distinguished: oil price,initial production rate,decline rate,CAPEX and variable cost. Analysis indicates that this project may have multiple real options. The values of expansion option,abandon option and compound option of this oil project were estimated with this integrated approach and DPL software model.