石油开发项目实物期权评价方法

石油开发投资具有可延迟性，这一特点使得石油开发项目具有灵活性价值，科学评估石油开发中延迟期权的价值，可使项目评估结果更为客观可靠。项目评估过程中，对开发方案所设计的未来各年产量进行套期保值，并假设无技术不确定性，采用原油价格服从几何布朗运动、原油便利收益服从均值回复运动的原油价格波动模型，在此基础上，建立石油开发项目无风险折现现金流模型，并采用LSM算法确定石油开发延迟期权的价值。实例分析表明：净现值小于零的开发项目可能具有开发价值，但立即实施一个净现值大于零的项目可能不是最优决策；项目开发价值与可延迟期限正相关，但并不随可延迟期限的增加而一直增加。图2参17

Real option valuation model for petroleum development projects

A distinct feature of a petroleum development project is the right to wait, which produces a flexibility value to the project. Valuating the option to defer scientifically will make the evaluation of a project more objective and reliable. Hedging the designed production in a development plan, assuming no technical uncertainty, and employing the oil price motion equation in which oil price follows Geometric Brownian Motion and oil convenience yield follows mean-reversion motion, the paper establishes a risk-free DCF model for petroleum development project valuation, in which LSM algorithm has been employed to calculate the value of the option to defer. The analysis results show that, a project with negative NPV(Net Present Value) possibly deserves to be developed, and sometimes developing a project with positive NPV immediately is not the best decision; the value of a development project is directly proportional to the duration of waiting within a certain time range, and long duration of waiting period would not increase the value of projects.