基于三叉树定价模型的煤矿安全投资期权价值研究

Research on Option Value of Coal Mine Safety Investment Based on Trigeminal Tree Pricing Model

针对传统的安全投资决策方法存在的缺陷,对传统的二叉树模型进行了拓展,以煤矿安全投资为例,在无风险利率为常数的情况下,构建了在煤矿资产自身价值有收益率和安全投资项目价值有期权价值的三叉树模型,并以实际数据进行了期权定价模拟,说明该方法的可靠性和模型的科学性,为决策者提供科学依据。

Aiming at the defects of the traditional method for safety investment decision-making, the traditional binary tree model of the real option was expanded. By taking the coal mine safety investment as an example, a trinomial tree model of the coal mine asset value having profit yield and the safety investment projects having option value was established in the case that the risk-free interest rate was constant, and the real data were used to simulate the option pricing. The results showed that this method is reliable and this model is scientific, so it provided a scientific basis for decision makers.