基于實(shí)物期權(quán)理論的礦產(chǎn)資源開(kāi)發(fā)項(xiàng)目投資評(píng)價(jià)方法研究.pdf

1、天津大學(xué)博士學(xué)位論文基于實(shí)物期權(quán)理論的礦產(chǎn)資源開(kāi)發(fā)項(xiàng)目投資評(píng)價(jià)方法研究姓名：何沐文申請(qǐng)學(xué)位級(jí)別：博士專業(yè)：管理科學(xué)與工程指導(dǎo)教師：劉金蘭201105ABSTRACTAsoneofthepillarindustryofeconomymineralresourcedevelopmentprojectprovidesimportantmaterialbasisforsocialistmodernizationScientficandratio

2、nalinvestmentdecisionplaysacrucialroleindevelopmentofenterprisesandresourcesecurityofcountryHoweverthetraditionaldiscountedcashflowapproachignorestheuncertaintyofresousevalueandmanagementflexibilityinoperation，whichledst

3、oshortsighteddecisionmaking，lackofinvestmentandeventhelossofcompetitivenessRecentlythedevelopmentofrealoption；theoryprovidesanewwayforinvestmentevaluationofmineralresourcesdevelopmentprojectInthispapeLwestudyintheinvestm

4、entevaluationofmineralresourcedevelopmentprojectwithrealoptionstheoryFirstlyweanalysethebusinessprocessofdevelopmentproject。Thenbasedonthecharacteristicsofhighvalueuncertaintylargeinvestmentandlongpaybackperiod，weresearc

5、hinfollowingissuesonebyone：thevolatilityofresourcevalue，theinvestmentvalueandopportunityundermultipleuncertainties，investmentvalueundemultiplephasesofinvestmentandoutsourcingdecisionWebuildarealoptionvaluationmodelformin

6、eralresourceinvestmentbasedontheanalysisofhowcommodityprice，cost，exchangerateandotheruncertaintiesafleetthemineralresourcevalueanditsvolatilityThen，thesolutionofvaluevolatiolityinthemodelisderivedFinally，themainparameter

7、sarestaticallyanalyzedbasedonarealexampleofcrudeoildevelopmemprojectinChinaOnbasisoftheuncontrollablecharacteristicininvestment，withthemanagementflexibilitiesofbothpostponingtheinvestmentdecisionandstoppingtheproductioni

8、nproductionprocessconsidered，arealoptionvaluationmodelonnaturalresourcedevelopmentprojectswithmultiplyuncertaintieswasestablishedAnanalyticsolutionofthemodelarealsoprovidedthroughapplyingthepriceprinciplessuchasexchangeo

9、ptionandmartingaleprocess，ofwhichthemainparametersarestaticallyarialyzedbasedonarealexampleofcrudeoildevelopmentprojectinChinaOnbasisofthemultistagedecisionininvestment，wepresentamultiplecompoundrealoptionpricingmodelfor

10、mineralresourceinvestmentUsingageneralizationofGeske’scompoundoptionmodel，wederiveasolutionforann‘foldcompoundoptionmodel，andapplyittocalculatethevalueofanoverseapetroleumprojectTheresultofexperimentandthesensitivityanal