本文選題：實(shí)物期權(quán) + 不確定性　； 參考：《山西財(cái)經(jīng)大學(xué)》2016年碩士論文

【摘要】：隨著社會的發(fā)展,對能源的需求越來越多,我國天然氣資源較少,未來將不能滿足日益增長的需求。煤層氣作為天然氣的替代能源,受到高度的重視。我國擁有豐富的煤層氣資源,儲量全球第三,我國煤層氣產(chǎn)業(yè)起步于上世紀(jì)末,經(jīng)過20多年的發(fā)展,取得了重大進(jìn)步。對于煤層氣企業(yè)來說如何評估煤層氣開發(fā)項(xiàng)目的價(jià)值以及選擇最佳的投資時(shí)機(jī)具有重要的意義。煤層氣項(xiàng)目投資金額大、不可逆、回收期長,項(xiàng)目的不確定性高,以NPV為代表的傳統(tǒng)投資決策方法由于忽視了項(xiàng)目投資過程中蘊(yùn)含的戰(zhàn)略靈活性和管理柔性,往往低估了項(xiàng)目的價(jià)值,進(jìn)而導(dǎo)致錯(cuò)誤的決策。本文將實(shí)物期權(quán)方法引入煤層氣項(xiàng)目投資決策分析過程,運(yùn)用實(shí)物期權(quán)的方法研究不確定性條件下的煤層氣開發(fā)項(xiàng)目的價(jià)值評估以及投資時(shí)機(jī)選擇問題。論文首先介紹了實(shí)物期權(quán)的基本理論以及其在實(shí)物投資領(lǐng)域的應(yīng)用;然后研究煤層氣項(xiàng)目投資的特點(diǎn),分析項(xiàng)目投資過程中的不確定因素,指出了以NPV為代表的傳統(tǒng)投資決策方法的缺陷與不足,提出了將實(shí)物期權(quán)方法引入煤層氣項(xiàng)目投資決策的必要性;在開發(fā)階段,煤層氣項(xiàng)目受技術(shù)不確定性影響減少,本文假定煤層氣儲量、地質(zhì)條件、開發(fā)工藝與技術(shù)等不確定性因素的信息已被基本掌握,則煤層氣的價(jià)格成為影響項(xiàng)目價(jià)值的主要因素。假設(shè)煤層氣的價(jià)格隨機(jī)過程遵循幾何布朗運(yùn)動,利用B-S期權(quán)定價(jià)模型評估項(xiàng)目的價(jià)值,選擇最優(yōu)投資時(shí)機(jī);本文利用Matlab軟件進(jìn)行數(shù)據(jù)的處理,并繪制相關(guān)圖像進(jìn)行研究分析,計(jì)算出在最佳投資價(jià)格*P時(shí)的煤層氣項(xiàng)目的價(jià)值,分析了在不同價(jià)格水平下,企業(yè)可以進(jìn)行的投資選擇。當(dāng)價(jià)格P(27)0P時(shí),項(xiàng)目NPV價(jià)值小于零,企業(yè)應(yīng)該放棄項(xiàng)目;當(dāng)*0(27)?PPP時(shí),企業(yè)可以選擇等待,等價(jià)格達(dá)到最優(yōu)價(jià)格時(shí)再進(jìn)行投資;當(dāng)*PP?時(shí),企業(yè)應(yīng)立即進(jìn)行投資,此時(shí)可以獲得最佳經(jīng)濟(jì)效益。同時(shí)也分析了不同投資時(shí)機(jī)對項(xiàng)目價(jià)值的影響,并將實(shí)物期權(quán)法下煤層氣項(xiàng)目投資決策與NPV法下進(jìn)行了對比分析,指出實(shí)物期權(quán)法適用性和科學(xué)性;最后對影響模型三個(gè)主要參數(shù)進(jìn)行了敏感性分析。實(shí)物期權(quán)法既考慮了項(xiàng)目投資的時(shí)間價(jià)值,也考慮了項(xiàng)目投資決策過程中蘊(yùn)含的戰(zhàn)略靈活性和管理的柔性,從而能夠更加科學(xué)準(zhǔn)確地對項(xiàng)目的價(jià)值進(jìn)行評估,選擇最佳的投資時(shí)機(jī)。在我國,實(shí)物期權(quán)法的應(yīng)用還比較少,希望本文提出的實(shí)物期權(quán)法能夠給煤層氣企業(yè)帶來啟發(fā),將實(shí)物期權(quán)法應(yīng)用到投資決策過程中,結(jié)合NPV法,進(jìn)行科學(xué)準(zhǔn)確地決策,以獲得最大的經(jīng)濟(jì)效益。
[Abstract]:With the development of society, the demand for energy is more and more, and the natural gas resources in our country are less, which will not meet the increasing demand in the future. As an alternative energy of natural gas, coalbed methane (CBM) is highly valued. Our country has abundant coal bed methane resources, reserves the third in the world, our country coal bed methane industry starts at the end of last century, after more than 20 years development, has obtained the important progress. It is of great significance for CBM enterprises to evaluate the value of CBM development projects and choose the best investment opportunity. The investment amount of CBM project is large, irreversible, the payback period is long, and the uncertainty of the project is high. The traditional investment decision-making method represented by NPV ignores the strategic flexibility and management flexibility contained in the investment process of the project. The value of the project is often underestimated, leading to the wrong decision. In this paper, the real option method is introduced into the investment decision analysis process of coalbed methane project, and the real option method is used to study the evaluation of the value of the coal-bed methane development project under uncertain conditions and the choice of investment opportunity. This paper first introduces the basic theory of real option and its application in the field of real investment, and then studies the characteristics of CBM project investment, analyzes the uncertain factors in the process of project investment. This paper points out the defects and shortcomings of the traditional investment decision method represented by NPV, and puts forward the necessity of introducing the real option method into the investment decision of coalbed methane project, and at the stage of development, the influence of technical uncertainty on the CBM project is reduced. This paper assumes that the information of uncertain factors such as coal bed methane reserves, geological conditions, development process and technology has been basically grasped, then the price of coal bed methane becomes the main factor affecting the value of the project. Assuming that the price stochastic process of CBM follows geometric Brownian motion, the B-S option pricing model is used to evaluate the value of the project, and the optimal investment opportunity is chosen. In this paper, the data are processed by Matlab software, and the related images are drawn for research and analysis. The value of the CBM project at the best investment price is calculated, and the investment options of the enterprise under different price levels are analyzed. When the NPV value of the project is less than zero, the enterprise should give up the project. When the price is less than 270P, the enterprise can choose to wait until the price reaches the best price before investing. When, the enterprise should carry on the investment immediately, can obtain the best economic benefit at this time. At the same time, it also analyzes the influence of different investment opportunities on the project value, and compares the investment decision of CBM project under real option method with that of NPV method, and points out the applicability and scientific nature of real option method. Finally, the sensitivity of the three main parameters of the model is analyzed. The real option method not only considers the time value of the project investment, but also considers the strategic flexibility and management flexibility in the decision-making process of the project investment, so it can evaluate the value of the project more scientifically and accurately. Choose the best time to invest. In our country, the application of the real option method is relatively few. I hope the real option method proposed in this paper can enlighten the coal bed methane enterprises, and apply the real option method to the investment decision-making process, combining with the NPV method, we can make scientific and accurate decision. In order to obtain the maximum economic benefit.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F426.22;F406.7

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳玉山;;實(shí)物期權(quán)在鋼鐵企業(yè)鐵礦資源投資決策中的運(yùn)用[J];財(cái)會月刊;2015年35期

2 張明明;周德群;周鵬;;基于實(shí)物期權(quán)的中國光伏發(fā)電項(xiàng)目投資評價(jià)[J];北京理工大學(xué)學(xué)報(bào)(社會科學(xué)版);2014年06期

3 邵東偉;陳靜;;實(shí)物期權(quán)在礦業(yè)投資中的應(yīng)用分析[J];北方經(jīng)濟(jì);2014年07期

4 張金鎖;王濤;鄒紹輝;;煤炭資源投資項(xiàng)目價(jià)值形成機(jī)理研究——基于實(shí)物期權(quán)[J];北京理工大學(xué)學(xué)報(bào)(社會科學(xué)版);2013年06期

5 呂喜明;韓燕;;基于MATLAB的Black-Scholes-Merton歐式期權(quán)定價(jià)模型的計(jì)算研究[J];經(jīng)濟(jì)論壇;2013年06期

6 秦勇;袁亮;胡千庭;葉建平;胡愛梅;申寶宏;程遠(yuǎn)平;何學(xué)秋;張遂安;李國富;張群;;我國煤層氣勘探與開發(fā)技術(shù)現(xiàn)狀及發(fā)展方向[J];煤炭科學(xué)技術(shù);2012年10期

7 雷丁軻;周遠(yuǎn)祺;;價(jià)格服從跳躍擴(kuò)散的海外油田開發(fā)項(xiàng)目實(shí)物期權(quán)評價(jià)法[J];財(cái)會月刊;2011年24期

8 賈秀妍;;實(shí)物期權(quán)理論及其在投資項(xiàng)目評價(jià)中的應(yīng)用[J];吉林工程技術(shù)師范學(xué)院學(xué)報(bào);2010年04期

9 姚國欣;王建明;;國外煤層氣生產(chǎn)概況及對加速我國煤層氣產(chǎn)業(yè)發(fā)展的思考[J];中外能源;2010年04期

10 Changhyup Park;Joe M. Kang;Taewoong Ahn;;A stochastic approach for integrating market and technical uncertainties in economic evaluations of petroleum development[J];Petroleum Science;2009年03期

相關(guān)博士學(xué)位論文 前3條

1 何沐文;基于實(shí)物期權(quán)理論的礦產(chǎn)資源開發(fā)項(xiàng)目投資評價(jià)方法研究[D];天津大學(xué);2012年

2 鄒紹輝;基于期權(quán)的煤炭資源采礦權(quán)估價(jià)方法研究[D];西安科技大學(xué);2009年

3 黃生權(quán);基于實(shí)物期權(quán)理論的礦業(yè)投資決策理論與方法研究[D];中南大學(xué);2006年

相關(guān)碩士學(xué)位論文 前6條

1 楊梅;基于實(shí)物期權(quán)理論的礦業(yè)投資時(shí)機(jī)研究[D];中南大學(xué);2012年

2 傅濤松;基于實(shí)物期權(quán)法的房地產(chǎn)投資決策研究[D];重慶工商大學(xué);2012年

3 曹穎;實(shí)物期權(quán)視角下的天然氣資源投資決策與應(yīng)用研究[D];三峽大學(xué);2011年

4 趙櫻;基于實(shí)物期權(quán)的煤炭資源開發(fā)項(xiàng)目評價(jià)模型研究[D];西安科技大學(xué);2010年

5 張勝有;基于實(shí)物期權(quán)方法的煤層氣項(xiàng)目投資決策研究[D];鄭州大學(xué);2010年

6 李莉;實(shí)物期權(quán)在鄂爾多斯盆地安塞—靖安區(qū)塊石油經(jīng)濟(jì)評價(jià)中的應(yīng)用[D];中國地質(zhì)大學(xué)（北京）;2005年

，

本文編號：1836030