基于实物期权的矿产资源采矿权定价模型及其实证

Pricing Model of Mining Rights of Mineral Resources Based on Real Option and Positive Analysis

科学合理地对矿产资源采矿权进行估价是防止国有资产流失的前提，是矿产资源可持续开发的核心问题之一。现金流量法不能体现资源开采者在经营策略上的灵活性或柔性，容易低估采矿权的价值，造成资源浪费和资源配置效率低下。本文依据实物期权理论，综合Copula函数技术和GARCH模型两方面的优势，运用等价鞅测度方法，建立了基于便利收益和现货价格的Copula-GARCH矿产资源采矿权定价模型，实证表明：本文模型较DCF方法更能体现资源所有者的权益。

A scientific assessment of mining rights is a predisposition of preventing the loss of state assets and a key to the sustainable exploration of mineral resources. The current pricing method of mining rights which mainly adopts the Discount Cash Flow （DCF） method does not consider explorer＇s management flexibility and is likely to cause the underestimate of mining rights, a waste of resources and the inefficiency of resource allocation. Based on the real option theory, this paper integrates the strengths of Copula technology and GARCH model and applies equivalent martingale measure approach to build a Copula-GARCH model on the basis of convenience yield and spot price. Compared to DCF method, the Copula-GARCH option model is proven to be more beneficial to the owner of resources in empirical studies.