基于实物期权的矿产资源价值评估模型

Valuation Model of Mineral Resource Based on Real Option

依据实物期权理论,采用鞅定价方法,构建了矿产资源价值估计模型——GARCH资源开发投资评估模型。该模型允许资源价值具有时变的波动率,弥补了折现现金流(DCF)方法和传统实物期权方法在实际应用中的不足。利用锌、镍、铜和锡等矿产资源的现货价格数据,对本文构建的模型、DCF模型和B-S模型的资源价值估计效果进行比较分析。结果显示,本文构建的模型能灵活刻画资源开采过程中的期权价值,比其他模型更能体现资源所有者的权益。

This paper applies the real option theory and the equivalent martingale measure approach to build a pricing model of estimating the value of mineral resource in which resource value has the time-varying volatility. Using the spot price data of zinc, nickel, copper and tin, it com- pares the evaluation results of these models for mineral resource value. The results show that, compared to DCF model and B-S model, the GARCH option model is more beneficial to resource owner.