基于实物期权的煤炭资源投资决策方法研究

Study on methods of the coal resources investment decision based on real option

科学、合理的煤炭资源投资决策方法,对于合理评价煤炭资源投资价值,科学决策煤炭资源最佳投资方案,适时管理煤炭资源投资过程中的各种风险和灵活性,具有重要的现实意义。在分析煤炭资源投资期权特性的基础上,提出煤炭资源投资本质上是一种多阶段复合看涨期权。对基于实物期权的煤炭资源投资决策方法研究进行综述,已有的研究主要集中在利率不变、标的资产价格连续变化和便利收益为零的情况下,直接运用B-S-M期权定价模型来确定煤炭资源投资价值,以及回避煤炭资源投资期权价值形成机理及其影响因素研究。在煤炭资源投资期权价值形成机理、煤炭价格变动模式、煤炭资源投资决策多因素模型,以及基于实物期权的煤炭资源投资管理策略等方面,对进一步的研究方向进行了展望。

It is significant for scientific and rational decision-making method of coal resources investment （for short CRI） to evaluate reasonably the value of coal resources investment, to make the best coal resources investment program, and to timely manage the risks and flexibility in investment process. On the basis of analyzing the option characteristics of CRI, CRI could be regarded as a multi-stage compound real option. The paper gives a general review of studies on theory and methods of the CRI decision based on real option, previous researches have focused on evaluate the value of CRI based on B-S-M theory with unchanged interest rates, the continuous underlying asset price and the zero convenience yield, and avoided the formation mechanism of the value of the CRI options and their impact factors. Prospect future researches in the formation mechanism of the value of the CRI options, the variable models of coal price, and the multifactor decision-making method of CRI, and the management strategy of CRI based on real options, and so on.