基于跳跃-扩散过程的煤炭资源采矿权估价三因素模型

煤炭资源采矿权可以被认为是一个多期多阶段的复合看涨期权,煤炭价格、便利收益和利率的随机波动都对煤炭资源采矿权价值有较大的影响。基于期权理论,构建了煤炭价格服从跳跃-扩散过程,利率和便利收益服从均值回复过程的煤炭资源采矿权估价三因素模型。实例运用表明,该模型较单因素模型、双因素模型更能体现资源所有者的权益。随着采矿权有效期的临近,关于利率、便利收益、煤炭开采成本和煤炭价格的信息趋于透明,这些因素的变动对采矿权的影响逐渐减弱。

Three-factor Model for Evaluating Coal Resource Mining Rights Based on Jump-Diffusion Process

The coal mining rights could be regarded as a multi-stage compounding call option,the stochastic variation of coal price and convenience yield as well as interest rate will directly affect the value of the coal mining rights.Based on option theory,a three-factor model for evaluating the coal mining rights is set up when the interest rate and convenience yield follow mean-reverting process and the coal price follows jump-diffusion process.The result through the instance shows that the model can better reflect rights and interests of the coal resource owner than DCF,one-factor model and two-factor model.As approaching of the coal mining rights maturity,the information about the interest rate,the convenience yield,the mining cost and coal price will be becoming more and more transparent,the influence of these factors' fluctuation on the coal mining rights will be gradually decreased.