| 基于跳跃-扩散过程的煤炭资源采矿权估价模型 |
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| 引用本文： | 邹绍辉,张金锁,惠莉萍.基于跳跃-扩散过程的煤炭资源采矿权估价模型[J].能源技术与管理,2007(5):31-34. |
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| 作者姓名： | 邹绍辉 张金锁 惠莉萍 |
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| 作者单位： | 西安科技大学,管理学院,陕西,西安,710054 |
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| 摘 要： | 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实物期权.能源市场、国家宏观经济政策、开采技术、地质条件等方面的突发事件对煤炭价格有较大影响,进而会影响煤炭资源采矿权价值.假定在多重突发事件影响下煤炭资源储量价值变动服从跳跃-扩散过程,建立了基于跳跃-扩散过程的煤炭资源采矿权估价模型.
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| 关 键 词： | 煤炭资源 采矿权 跳跃-扩散过程 实物期权 |
| 文章编号： | 1672-9943（2007）05-0031-04 |
| 修稿时间： | 2007-08-18 |
A Valuation Model of Mining Rights of Coal Resources Based on Coal Reserves Value Following Jump-diffusion Process |
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| ZOU Shao-hui,ZHANG Jin-suo,HUI Li-ping.A Valuation Model of Mining Rights of Coal Resources Based on Coal Reserves Value Following Jump-diffusion Process[J].Energy Technology and Management,2007(5):31-34. |
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| Authors: | ZOU Shao-hui ZHANG Jin-suo HUI Li-ping |
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| Affiliation: | School of Management, Xian University of Science and Technology, Xian 710054, China |
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| Abstract: | Mining rights of coal resources can be regarded as a multi-stage compounding real call option based on the option theory. Breaking-out Events in energy market, macro-economic policy of country, innovation of mining technology, Change of geological condition and so on can affect the price of coal product, and then can influence the value of mining rights. The paper, assuming that coal resource reserves value per unit follows jump-diffusion process, sets up the valuation model of mining rights of coal resources. |
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| Keywords: | coal resource mining rights jump-diffusion process real option valuation |
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