煤炭资源采矿权随机便利收益估价模型

The Model of Valuating Mining Right of Coal Resources Under Stochastic Convenience Yield

煤炭资源采矿权的有偿取得和转让是社会主义市场经济发展的客观必然,科学合理有效地对煤炭资源采矿权进行估价,是煤炭资源采矿权有偿取得和转让的关键和前提。煤炭资源采矿权具有和股票看涨期权一样的期权特性,本质上是一种按年度执行的多期看涨期权。便利收益的变动将直接影响煤炭资源采矿权价值,固定不变的便利收益或不考虑便利收益都不能准确地反映煤炭资源采矿权价值的变化。假定便利收益服从均值回复过程,文献[7]建立了便利收益和煤炭价格均随机变动的煤炭资源采矿权估价双因素模型,但该模型很难获得解析解,只能简化处理。本文界定了便利收益的内涵及其对煤炭资源采矿权价值的影响,运用鞅定价理论建立了基于随机便利收益的煤炭资源采矿权估价双因素模型,获得了解析解,并通过实例进行了运用,结果表明该模型较DCF方法和煤炭资源采矿权单因素模型更能体现资源所有者的权益。

It is a natural necessity to acquire and transfer coal resources miming rights at some price in improvement of socialist market economy. Evaluating coal resources mining rights scientifically and effectively is a key and precondition of acquiring and transferring. The coal resources mining right has the same characteristics as option,which is a multi-period call option exercised annually. The convenience yield affects the value of mining right because it influences the real option. Assuming the convenience yield to be constant or not considering the convenience yield can＇t reflect the change of values of mining right. The Assuming the convenience yield follows a mean-reverting process,had set up the two-factor model of valuating mining right of coal resources under conditions of stochastic convenience yield and stochastic coal price in references[7]. This model couldn＇t derive analytical solution. This paper define the connotation of convenience yield and its influence on coal mining rights value,and set up the two-factor model of valuating mining right of coal resources under conditions of stochastic convenience yield based on martingale pricing theory,derives analytical solution,and then verifies the model through a real example,compared with DCF and one-factor model,this model can better reflect government＇s income as the owner of the resources.