MRCR could be regarded as a multi-stage compounding real option,based on option theory,assuming the convenience yield of coal reserves to be constant,built a one-factor model of valuating MRCR with the stochastic valu...MRCR could be regarded as a multi-stage compounding real option,based on option theory,assuming the convenience yield of coal reserves to be constant,built a one-factor model of valuating MRCR with the stochastic value of coal reserves.On the basis of our one-factor model,set up a two-factor model of evaluating MRCR assuming the convenience yield follows the mean-reverting process.When applied to valuate the MRCR of a coalmine,this model gives higher values than the one-factor model and the NPV.This is because the increase of convenience yield can improve the executive oppor- tunity of MRCR.展开更多
基金the National Natural Science Foundation of China(90410014)
文摘MRCR could be regarded as a multi-stage compounding real option,based on option theory,assuming the convenience yield of coal reserves to be constant,built a one-factor model of valuating MRCR with the stochastic value of coal reserves.On the basis of our one-factor model,set up a two-factor model of evaluating MRCR assuming the convenience yield follows the mean-reverting process.When applied to valuate the MRCR of a coalmine,this model gives higher values than the one-factor model and the NPV.This is because the increase of convenience yield can improve the executive oppor- tunity of MRCR.
