煤炭资源投资项目价值形成机理研究——基于实物期权

The Value Formation Mechanism of Coal Resource Investment Project——Based on Real Option

建立基于实物期权的煤炭资源投资决策方法,必须揭示基于实物期权的煤炭资源投资项目价值形成机理。在分析煤炭资源投资期权特性的基础上,发现煤炭资源投资过程中分布着延迟期权、扩张期权、收缩期权、停启期权、放弃期权等实物期权。认为:煤炭资源投资过程就是管理这些实物期权的过程,忽略上述实物期权,必然低估煤炭资源投资价值。影响这些实物期权价值的不确定因素包括煤炭价格、煤炭深加工产品价格、煤炭价格或煤炭深加工产品价格波动率、无风险利率、资源赋存条件、便利收益、成本、开发规模、煤炭深加工生产规模和投资期限等。根据不确定因素的变化,投资者可以采取灵活的投资策略,以实现这些因素中所蕴涵的风险价值。建立实物期权下的煤炭资源投资决策流程,研究表明:煤炭资源投资是一个完整的价值链,煤炭资源投资项目价值不是各阶段投资项目的静态净现值之和,也不是上述单个实物期权价值的简单相加,而是多阶段、多因素复合期权的动态变化过程。

In order to establish the methods of coal resource investment （CRI）decision-making based on real option, the value formation mechanism of coal resource investment project based on option should be revealed first. On the basis of analyzing the characteristics of option for CRI, we find that there are a variety of real options such as delayed option, expanded option, contracted option, stop-start option, abandoned option and other real options in the process of CRI, and propose that the CRI process is the process of those options management. The CRI value will be definitely underestimated if the real options above are ignored. Those uncertain factors which affect the value of real option are coal price, price of highly processed coal products, price volatility rate of coal or highly processed coal products, risk-free interest rate, resources distribution condition, convenience yield, production cost, exploitation scale, production scale of highly processed coal and investment term, etc. According to the change of uncertain factors, investors can take a flexible investment strategy in order to achieve the value of risk which is implicated in those uncertainties. Then, the decision-making process for CRI under real option is established. The research results show that CRI is an entire value chain and the CRI value is neither the sum of static NPV of the investment project at each stage nor the simple addition together for every single real options above, but a dynamic changing process of multi-stage and multi-factor compound option.