基于实物期权的矿产资源价值评估模型

摘要

This paper applies the real option theory and the equivalent martingale measure approach to build a pricing model of estimating the value of mineral resource in which resource value has the time-varying volatility. Using the spot price data of zinc,nickel,copper and tin,it compares the evaluation results of these models for mineral resource value. The results show that, compared to DCF model and B-S model, the GARCH option model is more beneficial to resource owner.%依据实物期权理论,采用鞅定价方法,构建了矿产资源价值估计模型——GARCH资源开发投资评估模型.该模型允许资源价值具有时变的波动率,弥补了折现现金流(DCF)方法和传统实物期权方法在实际应用中的不足.利用锌、镍、铜和锡等矿产资源的现货价格数据,对本文构建的模型、DCF模型和B-S模型的资源价值估计效果进行比较分析.结果显示,本文构建的模型能灵活刻画资源开采过程中的期权价值,比其他模型更能体现资源所有者的权益.