| B-S模型的扩展及其在石油开发中的应用 |
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| 引用本文： | 刘冰,胡娟.B-S模型的扩展及其在石油开发中的应用[J].统计与信息论坛,2008,23(4):81-83. |
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| 作者姓名： | 刘冰 胡娟 |
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| 作者单位： | 西安石油大学经济管理学院,陕西,西安,710065 |
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| 摘 要： | 近年来，在石油勘探开发投资决策中，采用实物期权的方法进行评估取得了快速发展，但是随着国际油价的大幅走高，人民币汇率的坚挺，传统的B-S模型对实物期权的估价方法受到挑战。对多元伊藤过程进行研究，实现了期权估价的B-S模型的扩展，并且通过对开发勘探中随机变量的规范，引入国际油价和汇率两个变量，开发出一种新型的石油开发实物期权评价方法。
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| 关 键 词： | 石油开发 B-S模型 伊藤过程 实物期权 |
| 文章编号： | 1007-3116(2008)04-0081-03 |
| 修稿时间： | 2008年1月22日 |
The Development of B-S Model and Its Applications On the Development of Petroleum |
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| LIU Bing,HU Juan.The Development of B-S Model and Its Applications On the Development of Petroleum[J].Statistics & Information Tribune,2008,23(4):81-83. |
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| Authors: | LIU Bing HU Juan |
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| Institution: | (School of Economics and Management, Xi＇ an Shiyou University, Xi＇ an 710065, China) |
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| Abstract: | Recently, in the investment decision of petroleum exploration and development, adopting the real object option to evaluate required fast development. Along with the international oil price rising quickly and RMB exchange rate firming, the traditional B - S model is subjected to a challenge for real option. This paper studied the polybasic Ito process, realized the development of B - S model, and through the standardized random variable of petroleum exploration and development, brought in two variables of international oil price and exchange rate, developed a new method of real option on petroleum exploration and development. |
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| Keywords: | petroleum development B-S model Ito process real option |
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