石油工程项目投资决策中复合期权模型的应用

Application of compound option model to petroleum engineering investments,

研究了实物期权价值的基本特征和定价方法,介绍了复合期权的基本概念,认为在金融领域中,对于复合期权最有效的评价方法是盖斯克模型,并把盖斯克评价模型应用到石油工程的投资决策中。结果表明,评价复合期权的盖斯克模型对评估石油工程投资项目具有很高的应用价值,可避免传统评价方法造成的机会损失,并可使投资效益最大化。

The basic characteristics and pricing model of the real option value are studied in this paper which introduces the basic concept of the compound options and holds that Geske model is the best evaluation method for the compound options in the finance and can be applied to the investment decision-making in petroleum engineering. Results showed Geske model used to value the compound options can ensure correct evaluation of petroleum engineering investment program. The model can avoid the chance losses caused by traditional method and bring the most investment benefit.