不确定环境下自然资源开发项目投资评价模型

摘要

This paper focuses on the investment valuation of natural resource development projects under uncertainties of cash inflows,development costs and operating costs.On the basis of existing real option investment valuation models,with the management flexibilities of both postponing the investment decision and stopping the production in the production process considered,a real option valuation model on natural resource development projects with multiply uncertainties is established.An analytic solution of the model are also provided through applying the price principles such as exchange option and martingale process,and the main parameters are statically analyzed based on a real example of crude-oil development project in China.%以不确定环境下自然资源开发项目投资评价问题为研究对象,以现金收益、开发投资和运营成本的不确定性对投资价值的影响为切入点,在现有实物期权投资评价模型的基础上,同时考虑项目方在投资阶段推迟投资和在生产阶段暂停运营的管理柔性,建立基于多随机变量的自然资源开发项目实物期权投资评价模型.应用交换型期权和鞅过程等定价理论给出了模型的解析解,并结合某原油开发项目的实例进行了参数的静态分析.