基于模糊实物期权的煤矿安全投资价值研究

Investment price-value study for the coal mine safety based on the fuzzy real option

在煤矿安全投资过程中,传统的净现值法和实物期权法均存在一定的缺陷。传统的安全投资评价方法忽视了投资项目的期权价值;传统的实物期权方法虽然考虑了投资项目的期权价值,但已有的研究都假定期望现金流现值和投资成本等为确定值,实际上由于煤矿安全投资项目的不确定性,要准确估计这些变量比较困难。因此,引入模糊数学理论,用模糊数集合来表述和处理实物期权定价模型中的参数,应用模糊实物期权方法评价煤矿安全投资项目价值,使投资者和管理者可以用模糊数表示影响安全投资项目价值变化参数的区间,克服了实物期权定价模型中根据已有知识和经验估计的参数准确化的弊端。

The present paper intends to bring about our study results of coal mine safety investment probability to overcome the inefficiency of the traditional safety investment evaluation method. As is known, the option value of the investment project is usually neglected by the traditional safety investment evaluation method, whereas the uncertainty of the safety investment project is often ignored by the traditional real option method, thus leaving somewhat defects for both of the methods. In hoping to overcome the above inefficiencies, we have been attempting to combine the theory of fuzzy mathematics with the real option theory based on B-S model and adopt the improved triangle fuzzy mathematics to express and process the parameters of real option pricing model, such as the underlying asset price （ S ）, executive price （ X ）, project value of volatility （ σ ）, risk-free interest rate （ r ）, etc. Once the problem of the uncertainty and fuzziness of safety investment projects is solved, it would be possible to establish a value model for the coal mine safety investment project based on the fuzzy real option and work out the real option value through practical examples under the fuzzy environment. Thus, the results of the above study demonstrate that： if the membership degree of the fuzzy mathematics （implementation degree of the option value） is different, the evaluation of the uncertainty by the decision makers should also tend to be different. Thus, it can also be deduced that, the greater the α value, the higher degree of the managers＇ comprehension of the projects and the lower degree of the uncertainty of the projects, thus the smaller scope of the corresponding option value, which means the more closer both the maximum value and the minimum value close to the option value when the α value equals one （i.e. classical real options analysis method）; Similarly, the smaller the α value, the lower degree of the managers＇ comprehension of the projects and the higher degree of the uncertainty of the projects, which means the bigger difference between the maximum value and the minimum value. And, similarly, the higher the uncertainty of the project, the greater the profit space is likely to be, which tends to naturally mean the higher risk. Therefore, the above said improved triangle fuzzy mathematics can surely be made to guide the investors and managers to make a more scientific and reasonable investment decision in the highly challenging investment market.