Two-factor Model of Valuating Mining Right of Coal Resources Under Stochastic Convenience Yield

摘要

In China, it is a natural necessity to acquire and transfer the mining right of coal resources (for short MRCR) at some price in improvement of socialist market economy. Evaluating MRCR scientifically and effectively is a key and precondition of acquiring and transferring it MRCR has the same characteristics as option, which is a multi-period call option exercised annually. The convenience yield affects the value of MRCR because it influences the flexibility of the multi-period call option. The constant convenience yield can't reflect the value change of MRCR. Assuming the convenience yield follows a meanreverting process, a two-factor model of valuating MRCR had been set up under the conditions of stochastic convenience yield and stochastic coal spot price in reference. But above model couldn't derive analytical solution. This paper set up the two-factor model of valuating MRCR under stochastic convenience yield based on martingale pricing theory, derives analytical solution, and then verifies the model through a real example.