基于实物期权理论的矿产资源最优投资策略模型

An Optimal Investment Model for Mineral Resources Based on Real Option Theory

矿产资源投资周期长、数额大、且不确定性高,应用传统的净现值方法来评估矿产资源投资价值具有很大的局限性。本文运用实物期权理论,通过建立矿产资源最优投资的策略模型,讨论了在矿产品价格以及汇率存在不确定性的情况下,如何对海外矿产资源价值进行评估的问题,并以国内某海外矿产资源项目为例,验证了模型的有效性。研究结果表明,相对于传统的净现值法,实物期权方法可以更好地考虑未来的不确定性对矿产资源项目估值的影响;汇率风险是对海外矿产资源投资的影响很大;矿产资源丰度差异对矿产资源价值的影响很大。

Traditional NPV approach has limitations in evaluating mineral resources investment because of the long cycle,large amount and high uncertainty of mineral investment.This paper applies real option theory to establish an optimal strategy model for mineral resources investment,discusses how to evaluate overseas mineral resources under the uncertainties of mineral prices and exchange-rate.An overseas mineral project has also been taken as an example,to examine the validity of the model.The results show that： Compared to NPV approach,real option approach can better consider the uncertainties effect on mineral resources evaluation,the volatility of exchange-rate has great impact on overseas mineral investment,the quality of mineral resources also affect the value of mineral resources.