Limitations exist in applying discounted cash flow and analogy sales methods to evaluate mining titles. In order to find a more appropriate way of evaluating mining titles, the Black-Scholes model is discussed in this...Limitations exist in applying discounted cash flow and analogy sales methods to evaluate mining titles. In order to find a more appropriate way of evaluating mining titles, the Black-Scholes model is discussed in this paper. The authors pay particular attention to the determination of the time to maturity of the option on the basis of characteristics of the mining industry, pointing out that a reasonable time to maturity of the option should be the remaining time after deducting the essential time, needed by exploitation of the mineral resources within the mining property, from the life of the mining title. Several conclusions, related to the exercise of mineral resource management, are drawn from a case study analysis; extending the life of a mining title within a certain range could increase the revenue to the seller of the mining title. Application of the Black-Scholes model to evaluate mining titles would encourage an expansion of the scale of production.展开更多
We proposed a new model to price employee stock options （ESOs）. The model is based on nonparametric statistical methods with market data. It incorporates the kernel estimator and employs a three-step method to modif...We proposed a new model to price employee stock options （ESOs）. The model is based on nonparametric statistical methods with market data. It incorporates the kernel estimator and employs a three-step method to modify Black- Scholes formula. The model overcomes the limits of Black-Scholes formula in handling option prices with varied volatility. It disposes the effects of ESOs self-characteristics such as non-tradability, the longer term for expiration, the eady exercise feature, the restriction on shorting selling and the employee＇s risk aversion on risk neutral pricing condition, and can be applied to ESOs valuation with the explanatory variable in no matter the certainty case or random case.展开更多
The rights and interests value of mineral resources includes the prospecting rights value and the mining rights value. The mining rights value is made up of the min-eral resources value and the compensation value base...The rights and interests value of mineral resources includes the prospecting rights value and the mining rights value. The mining rights value is made up of the min-eral resources value and the compensation value based on the inputs of capitals and labors in different exploration stage, the prospecting rights value should be equal to ex-ploration differential rent of resources. According to the stage characteristic of mineral resources exploration and development, the initial evaluating methods and models are used to evaluate the prospecting rights and mining rights value.展开更多
A traditional real option model is applied to a simulation of an oil production project. This analysis includes a carbon sequestration structure cost and possible revenues from carbon credit markets. The evaluation fo...A traditional real option model is applied to a simulation of an oil production project. This analysis includes a carbon sequestration structure cost and possible revenues from carbon credit markets. The evaluation focuses on the determination of an optimal timing for the investment in different scenarios, regarding the volatility of the uncertain variable, oil prices. Historical prices data from different moments are used to estimate different prices uncertainty scenarios and its impacts on the decision making on building a carbon sequestration structure. The results are compared between a real option model to the ones obtained using the traditional net present value evaluation. Trigger point of investments are defined for different scenarios with and without carbon sequestration. There is also an analysis of the effects on decision-making in different scenarios for carbon market prices. It is perceived an important difference in the decision making considering the different methods of economic analysis. The real option model is a fundamental valuation tool in periods of high price volatility and higher sunk costs added to a project such as the carbon sequestration structure. Greenhouse gas projects demand high oil prices, positive market trend expectation and volatility.展开更多
The authors employ the recent stochastic-control-based approach to financial mathematicsto solve a problem of determination of the risk premium for a stochastic interest rate model,andthe corresponding problem of equi...The authors employ the recent stochastic-control-based approach to financial mathematicsto solve a problem of determination of the risk premium for a stochastic interest rate model,andthe corresponding problem of equity valuation.The risk premium is determined explicitly,by meansof solving a corresponding partial differential equation (PDE),in two forms:one,time-dependent,corresponding to a finite time contract expiration,and the simpler version corresponding to perpetualcontracts.As stocks are perpetual contracts,when solving the problem of equity valuation,the latterform of the risk premium is used.By means of solving the general pricing PDE,an efficient equityvaluation method was developed that is a combination of some sophisticated explicit formulas,and anumerical procedure.展开更多
基金Project 50074031 supported by National Natural Science Foundation of China
文摘Limitations exist in applying discounted cash flow and analogy sales methods to evaluate mining titles. In order to find a more appropriate way of evaluating mining titles, the Black-Scholes model is discussed in this paper. The authors pay particular attention to the determination of the time to maturity of the option on the basis of characteristics of the mining industry, pointing out that a reasonable time to maturity of the option should be the remaining time after deducting the essential time, needed by exploitation of the mineral resources within the mining property, from the life of the mining title. Several conclusions, related to the exercise of mineral resource management, are drawn from a case study analysis; extending the life of a mining title within a certain range could increase the revenue to the seller of the mining title. Application of the Black-Scholes model to evaluate mining titles would encourage an expansion of the scale of production.
基金Funded by the No. 12 Project of Joint Research Projects of Shanghai Stock Exchange with Chongqing University.
文摘We proposed a new model to price employee stock options （ESOs）. The model is based on nonparametric statistical methods with market data. It incorporates the kernel estimator and employs a three-step method to modify Black- Scholes formula. The model overcomes the limits of Black-Scholes formula in handling option prices with varied volatility. It disposes the effects of ESOs self-characteristics such as non-tradability, the longer term for expiration, the eady exercise feature, the restriction on shorting selling and the employee＇s risk aversion on risk neutral pricing condition, and can be applied to ESOs valuation with the explanatory variable in no matter the certainty case or random case.
文摘The rights and interests value of mineral resources includes the prospecting rights value and the mining rights value. The mining rights value is made up of the min-eral resources value and the compensation value based on the inputs of capitals and labors in different exploration stage, the prospecting rights value should be equal to ex-ploration differential rent of resources. According to the stage characteristic of mineral resources exploration and development, the initial evaluating methods and models are used to evaluate the prospecting rights and mining rights value.
文摘A traditional real option model is applied to a simulation of an oil production project. This analysis includes a carbon sequestration structure cost and possible revenues from carbon credit markets. The evaluation focuses on the determination of an optimal timing for the investment in different scenarios, regarding the volatility of the uncertain variable, oil prices. Historical prices data from different moments are used to estimate different prices uncertainty scenarios and its impacts on the decision making on building a carbon sequestration structure. The results are compared between a real option model to the ones obtained using the traditional net present value evaluation. Trigger point of investments are defined for different scenarios with and without carbon sequestration. There is also an analysis of the effects on decision-making in different scenarios for carbon market prices. It is perceived an important difference in the decision making considering the different methods of economic analysis. The real option model is a fundamental valuation tool in periods of high price volatility and higher sunk costs added to a project such as the carbon sequestration structure. Greenhouse gas projects demand high oil prices, positive market trend expectation and volatility.
基金supported in part by the Center for Financial Engineering at the Suzhou University, Chinathe Taft Research Center at the University of Cincinnati, USA
文摘The authors employ the recent stochastic-control-based approach to financial mathematicsto solve a problem of determination of the risk premium for a stochastic interest rate model,andthe corresponding problem of equity valuation.The risk premium is determined explicitly,by meansof solving a corresponding partial differential equation (PDE),in two forms:one,time-dependent,corresponding to a finite time contract expiration,and the simpler version corresponding to perpetualcontracts.As stocks are perpetual contracts,when solving the problem of equity valuation,the latterform of the risk premium is used.By means of solving the general pricing PDE,an efficient equityvaluation method was developed that is a combination of some sophisticated explicit formulas,and anumerical procedure.
