未开发油田价值评估和投资时机选择模型的构建及应用

Establishment and application of evaluation and investment timing model for undeveloped oilfield

分析未开发油田投资决策的实物期权特征,建立未开发油田价值评估和投资时机选择模型,运用蒙特卡罗方法模拟原油价格波动的随机过程,并求解美式延迟期权及原油价格波动率和无风险利率等模型参数,最后通过案例计算标的油田的价值和最优开发时间。结果表明,所建模型能够突破传统贴现现金流法的局限,可以为决策者提供客观的依据,帮助决策者更充分地了解投资项目所面临的风险和潜在收益,使最终决策更加客观、科学。

The real option traits within the development of an undeveloped oilfield project were analyzed, and a novel evaluation and investment timing model was established. Monte Carlo method was used to simulate the stochastic process of price fluctuation for crude oil and to evaluate the delay option. The calculation of the parameters in the model was discussed. The model was applied to calculate the value of an underlying undeveloped oilfleld and the optimal time to develop in a practical case. The results show that the new model can break the limitation of traditional discounted cash flow method, and provide objective proofs to decision-makers and help them to realize the internal risk and potential benefits of the investment project more clearly, which makes the decision process more objective and scientific.