基于实物期权理论的油田开发方案优选模型

由于忽略了不确定条件下决策者的管理柔性，传统的折现现金流方法不适合评价油田开发投资项目。当投资者对拟开发油田具有延迟开发权利时，油田开发项目的投资决策可类比于美式看涨期权。利用美式看涨期权的定价思路，通过将传统净现值评价模型转化为商业模型，并假设原油价格服从几何布朗运动，建立了油田开发项目投资评价实物期权定价模型，将该模型应用于油田开发方案的评价以及其方案优选模型的建立。模型运用结果表明，在低油价下传统折现现金流方法低估了项目的投资价值；可选方案增多可以增加项目的价值；有时，即便是开发方案的净现值大于零，且实施净现值最大的开发方案也不是最优的选择。

Optimal model of oilfield development plan based on real options theory

ChinaTraditional discounted cash flow (DCF) method was not suitable for evaluating the investment projects of oilfield development due to neglecting managerial flexibility in the decision maker under uncertain condition. When investors had right to delay development for intending oilfield, the investment decision making of the oilfield development project can be similar to American call options. Along the pricing thought of American call options,the traditional net present value (NPV) evaluating model was transferred into business model, and hypothesizing that the oil price follows geometric Brownian motion,a pricing model of evaluating real option for oilfield development project investment was established. The model was applied to evaluate the oilfield development plan and to establish the optimal model of the plan. The result applying optimal model showed that the traditional DCF method underestimates the project investment value, that more optional plans increase the value of project, and sometimes the plan with the highest and above zero NPV was not optimal.