本文選題：油船運(yùn)輸 + 實(shí)物期權(quán)　； 參考：《天津大學(xué)》2012年碩士論文

【摘要】：本文立足于當(dāng)前我國石油需求量日益增加,而國內(nèi)石油供不應(yīng)求,對外依存度越來越高的的基本情況。運(yùn)用實(shí)物期權(quán)及期權(quán)博弈的理論,建立模型,分析海上石油運(yùn)輸企業(yè)的油船投資與決策,本文研究工作對于海上石油運(yùn)輸企業(yè)的投資決策具有指導(dǎo)意義。 本文首先通過搜集大量資料、數(shù)據(jù),分析我國石油儲備情況及運(yùn)力現(xiàn)狀對比,得出我國石油儲備量不足,需要大量進(jìn)口石油,但是海上運(yùn)輸受到油船數(shù)量缺乏的限制,遠(yuǎn)遠(yuǎn)達(dá)不到“國油國運(yùn)”的結(jié)論。因此,國家大力組建油船船隊(duì),以確保我國石油運(yùn)輸?shù)陌踩屯〞�。組建船隊(duì),就要面臨油船建造、運(yùn)營的油船投資問題,本文引用在經(jīng)濟(jì)領(lǐng)域運(yùn)用越來越廣泛的實(shí)物期權(quán)理論,以及與博弈論相結(jié)合的期權(quán)博弈理論對油船投資加以分析。文章先將實(shí)物期權(quán)法與傳統(tǒng)NPV理論進(jìn)行對比,分析出實(shí)物期權(quán)理論運(yùn)用于油船投資領(lǐng)域的優(yōu)越性,再以實(shí)際市場為依托,分別研究了市場繁榮和市場低迷兩種情況下的油船投資問題。在市場繁榮條件下,運(yùn)用期權(quán)博弈理論對兩個企業(yè)的寡頭壟斷情形進(jìn)行分析,分別計(jì)算出各個企業(yè)的投資臨界值與相應(yīng)的最優(yōu)價(jià)值函數(shù),利用matlab軟件進(jìn)行編程,模擬出企業(yè)的價(jià)值函數(shù)曲線,并將此種算法擴(kuò)展到多家企業(yè)競爭的情形下;在市場低迷的條件下,運(yùn)用實(shí)物期權(quán)的二叉樹定價(jià)模型,對油船運(yùn)輸企業(yè)的停啟期權(quán)及放棄期權(quán)分別進(jìn)行分析,計(jì)算出相應(yīng)的期權(quán)價(jià)值。在以上兩種市場條件的分析計(jì)算中,都舉出實(shí)例用以對理論模型加以驗(yàn)證,并且更加直觀的看出實(shí)物期權(quán)及期權(quán)博弈理論運(yùn)用于油船投資領(lǐng)域的適應(yīng)性和優(yōu)越性。
[Abstract]:This paper is based on the fact that the demand for oil in our country is increasing day by day, but the domestic oil supply exceeds the supply, and the degree of dependence on foreign countries is becoming higher and higher. Based on the theory of real option and option game, this paper establishes a model to analyze the investment and decision of oil tanker in offshore oil transportation enterprises. The research work in this paper is of guiding significance to the investment decision of offshore oil transportation enterprises. First of all, by collecting a large amount of data and data, analyzing the situation of petroleum reserves and the present situation of transportation capacity in China, it is concluded that the oil reserves in China are insufficient and a large number of imported oil is needed, but the sea transportation is limited by the lack of the number of oil tankers. Far from reaching the conclusion of "national oil and national luck." Therefore, the country establishes the tanker fleet to ensure the safety and smooth transportation of oil in our country. In order to set up the fleet, we will face the problem of oil tanker investment in construction and operation. This paper uses the theory of real options which is more and more widely used in the economic field and the option game theory combined with game theory to analyze the investment of oil tanker. By comparing the real option method with the traditional NPV theory, the paper analyzes the superiority of the real option theory in the field of oil tanker investment, and then relies on the actual market. In this paper, the problem of oil tanker investment under the condition of market boom and market depression is studied respectively. Under the condition of market prosperity, the paper analyzes the oligopoly of two enterprises by using option game theory, calculates the investment critical value and the corresponding optimal value function of each enterprise, and uses matlab software to program. The value function curve of the enterprise is simulated, and the algorithm is extended to the case of multiple enterprises' competition. Under the condition of the market downturn, the binomial tree pricing model of real options is used. This paper analyzes the stop-start option and the abandon option of the tanker transportation enterprise, and calculates the corresponding option value. In the analysis and calculation of the above two kinds of market conditions, examples are given to verify the theoretical model, and the adaptability and superiority of the real options and option game theory in the field of oil tanker investment are more intuitively seen.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F552;F426.22

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