本文選題：投資決策 + 實(shí)物期權(quán)　； 參考：《西安建筑科技大學(xué)》2014年碩士論文

【摘要】：礦業(yè)項(xiàng)目投資金額大、運(yùn)營(yíng)時(shí)間長(zhǎng)、投資不可逆性等特點(diǎn)，使其在決策中面臨著諸多的不確定性，這些不確定的潛在因素又是構(gòu)成礦業(yè)期權(quán)價(jià)值的關(guān)鍵要素。在對(duì)以往礦業(yè)投資決策方法的梳理研究中發(fā)現(xiàn)，決策者往往忽略了這些潛在的不確定性因素，多是憑借以往經(jīng)驗(yàn)主觀(guān)臆斷，又或是借助一些過(guò)去的傳統(tǒng)方法進(jìn)行價(jià)值評(píng)估。這種決策上存在缺陷的理念，使得投資決策變得更盲目、隨機(jī)。因此，如何客觀(guān)分析期權(quán)價(jià)值，實(shí)現(xiàn)科學(xué)合理的決策就成為了研究的關(guān)鍵。 礦業(yè)項(xiàng)目的投資被看成是一種延期的看漲期權(quán)，其價(jià)格的波動(dòng)不僅會(huì)造成邊界品位確定值的波動(dòng)，，同時(shí)對(duì)礦石儲(chǔ)量、礦山服務(wù)年限等因素都有較大的影響。就主流的傳統(tǒng)凈現(xiàn)值法而言，它忽視了動(dòng)態(tài)信息對(duì)于投資決策的影響，即期權(quán)價(jià)值。這種對(duì)于項(xiàng)目真實(shí)價(jià)值的失實(shí)評(píng)估，會(huì)導(dǎo)致投資者做出錯(cuò)誤的決策，喪失其對(duì)投資行為的有效指導(dǎo)。本文針對(duì)傳統(tǒng)凈現(xiàn)值法的上述不足，探討了實(shí)物期權(quán)理論中三叉樹(shù)模型對(duì)傳統(tǒng)凈現(xiàn)值法進(jìn)行改進(jìn)的可行性；通過(guò)對(duì)礦山建設(shè)運(yùn)營(yíng)中年開(kāi)采量、原礦成本、選礦成本、管理費(fèi)用等現(xiàn)金流的流入流出進(jìn)行全面客觀(guān)的分析，建立了針對(duì)礦業(yè)投資決策的凈現(xiàn)值模型，并在此基礎(chǔ)上引入實(shí)物期權(quán)理論思想，通過(guò)“價(jià)格樹(shù)—凈現(xiàn)值樹(shù)—期權(quán)樹(shù)”的三叉樹(shù)期權(quán)定價(jià)模型實(shí)現(xiàn)優(yōu)化改進(jìn)。同時(shí)，為了對(duì)投資決策分析提供更為直觀(guān)的指導(dǎo)，應(yīng)用了最佳投資決策下確立“欄桿價(jià)格”理論的方法，并以實(shí)際數(shù)據(jù)進(jìn)行了期權(quán)定價(jià)模擬，以提供較為客觀(guān)、可信的決策支持。 研究結(jié)果表明，對(duì)于傳統(tǒng)凈現(xiàn)值法的改進(jìn)，可以更為全面合理地評(píng)估礦業(yè)投資決策中的潛在期權(quán)價(jià)值。該方法不僅實(shí)現(xiàn)了礦產(chǎn)品價(jià)格對(duì)邊界品位、礦山服務(wù)年限等因素的量化，同時(shí)提升了期權(quán)理論對(duì)于礦業(yè)項(xiàng)目投資決策的準(zhǔn)確度，對(duì)豐富和完善礦業(yè)項(xiàng)目投資決策方法有較好的理論和實(shí)踐價(jià)值。
[Abstract]:The characteristics of large investment amount, long operating time and irreversibility of investment in mining projects make them face many uncertainties in decision-making. These uncertain potential factors are also the key factors that constitute the value of mining options. In the past mining investment decision-making methods combing research found that policymakers often ignore these potential uncertainties mostly based on previous experience subjective assumption or with some of the past traditional methods to evaluate the value. This kind of decision has the defect idea, causes the investment decision to become more blind, random. Therefore, how to objectively analyze the value of options and realize scientific and reasonable decision becomes the key of research. The investment of mining project is regarded as a kind of delayed call option. The fluctuation of price will not only cause the fluctuation of boundary grade, but also have great influence on ore reserves, mine service life and other factors. As far as the traditional net present value method is concerned, it ignores the influence of dynamic information on investment decision, that is, option value. This misevaluation of the real value of the project will lead investors to make wrong decisions and lose their effective guidance on investment behavior. Aiming at the deficiency of traditional net present value (NPV) method, this paper discusses the feasibility of improving traditional NPV method by using tri-tree model in real option theory, and discusses the feasibility of improving NPV method by means of middle age mining, raw ore cost and mineral dressing cost in mine construction and operation. The inflow and outflow of cash flow, such as management expenses, are analyzed comprehensively and objectively, the net present value model for mining investment decision is established, and the real option theory is introduced on this basis. The option pricing model of "price tree-net present value tree-option tree" is optimized and improved. At the same time, in order to provide more intuitionistic guidance for investment decision analysis, the method of establishing "balustrade price" theory under optimal investment decision is applied, and the option pricing simulation is carried out with actual data to provide more objective. Credible decision support. The results show that the improvement of the traditional net present value method can evaluate the potential option value in mining investment decision more comprehensively and reasonably. This method not only realizes the quantification of mineral product price to boundary grade, mine service life and other factors, but also improves the accuracy of option theory for investment decision of mining project. It has good theoretical and practical value to enrich and perfect the investment decision method of mining project.
【學(xué)位授予單位】：西安建筑科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F426.1;F224

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