基于实物期权的煤层气利用项目投资评价研究

实物期权法是对项目决策中的灵活性价值进行定量评估的一种方法，是对传统经济评价方法净现值法的修正补充。采用实物期权理论和方法，分析煤层气利用项目可研建设阶段和生产运营阶段的期权特征，确定出煤层气利用项目总价值为现金流量净现值与项目灵活性价值之和。采用二叉树期权定价方法，构建基于实物期权的煤层气利用项目投资评价方法和模型。并结合煤层气脱氧制液化天然气项目实例，在确定评价参数的基础上，分别用净现值法、基于实物期权的延迟期权方法、扩张期权方法及复合期权方法，计算煤层气项目投资价值，同时对评价方法主要影响参数进行敏感性分析。结果表明：实物期权法评价出的煤层气利用项目价值明显高于传统经济评价方法计算出的项目价值，而且组合期权能有效增加项目的价值；标的资产价值和期权执行价格对煤层气利用项目期权价值的影响最大。 

INVESTMENT ASSESSMENT OF CBM PROJECTS BASED ON REAL OPTIONINVESTMENT ASSESSMENT OF CBM PROJECTS BASED ON REAL OPTION

Real option is a way to quantitative assessment of project active values during decision, which is an amendment to the traditional NPV economic assessment. This paper uses real option theory and way to analyze the real option in CBM project development stage and operation stage, determines that the gross value of this CBM project is the sum of cash flow NPV and active values. Binary tree option pricing is used to construct CBM project investment assessment and model based on real option. Combined with a case study on CBM to LNG project, NPV, delayed option based on real option, expansion option, and compound option are used to calculate the investment values of CBM project, with major parameters analyzing their sensibilities at the same time. Results show that the project value by real option is outstandingly higher than that by traditional ways, but the combined option can increase the project values. Subject asset values and option pricing largely impact the CBM option values.