摘要
在运用实物期权方法评估油气项目价值时,油价是影响项目灵活性价值最重要的因素。为了更合理的估计油价的波动率等描述油价随机特征的参数,本文运用复杂网络方法分析了国际油价时间序列,并提出了剔除跳跃过程,调整时间序列的方法。经过验证,调整方法合理,调整后的时间序列符合真实世界随机序列的波动特征。运用调整后的序列估计随机特征参数并应用于实物期权估值模型,剔除了油价冲击的影响,使估值结果更可靠。
Oil price is the most important factor which influence the flexibility value in the real options evaluation. In order to get more reasonable parameters from thc oil price time series, this paper analyzes the international oil price time series by complex network method and proposes a method to adjust the time series. The adjusting method is proved to be reasonable. This paper estimates stochastic parameters by the adjusted sc quence . which is applied to real option valuation model. The influence of oil price shock is eliminated by this method, which makes the real options estimation results more reliable.
出处
《科技和产业》
2013年第11期68-71,92,共5页
Science Technology and Industry
基金
国家科技重大专项(2011ZX05030)
关键词
国际油价
时间序列
随机特征
复杂网络
实物期权
international oil price
time series
random characteristic
complex network
real options
