| 石油勘探投资实物期权评价模型的建立及应用 |
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| 引用本文： | 罗东坤,汪华.石油勘探投资实物期权评价模型的建立及应用[J].石油学报,2007,28(6):147-150. |
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| 作者姓名： | 罗东坤 汪华 |
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| 作者单位： | 1. 中国石油大学工商管理学院, 北京, 102249;2. 中国石油天然气勘探开发公司, 北京, 100034 |
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| 摘 要： | 详细分析了石油勘探所具有的实物期权特性、原油价格波动模型以及储层参数和经济因素不确定性对勘探项目价值的影响。根据勘探项目多阶段投资的特性,利用风险中性期望算子和无风险贴现率建立了石油勘探投资多阶段实物期权评价模型,提供了评估勘探项目阶段性投资管理弹性价值的方法,并通过实例验证了该方法的可操作性。
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| 关 键 词： | 石油勘探 投资决策 经济评价 实物期权 评价模型 |
| 文章编号： | 0253-2697（2007）06-0147-04 |
| 收稿时间： | 2006-10-6 |
| 修稿时间： | 2006-10-06 |
Establishment and application of a real option model for evaluation of petroleum exploration project |
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| Luo Dongkun,Wang Hua.Establishment and application of a real option model for evaluation of petroleum exploration project[J].Acta Petrolei Sinica,2007,28(6):147-150. |
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| Authors: | Luo Dongkun Wang Hua |
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| Affiliation: | 1. School of Business Administration, China University of Petroleum, Beijing 102249, China;2. China National Oil and Gas Exploration and Development Corporation, Beijing 100034, China |
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| Abstract: | The real option traits of a petroleum exploration project,oil price movement model and the influence of technical and economic parameters on the value of an exploration project were analyzed. A multi-stage real option model for evaluating a petroleum exploration project was established using risk-neutral expectation arithmetic operator and no-risk discount rate. The flexibility value of the investment stage by stage in an exploration project was evaluated rationally with this model. The influences of uncertainty parameters on the value of a petroleum exploration project were discussed by applying the model. The probability of the model was verified through practice. |
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| Keywords: | petroleum exploration investment decision economic evaluation real option evaluation model |
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