油气勘探开发项目实物期权复合模型研究

油气勘探开发项目存在大量的不确定性因素，具有投资大、周期长、技术工艺复杂、风险大等特点。从金融领域衍生的实物期权理论可有效地对油气勘探开发项目进行分阶段的战略经济评价。油气勘探开发项目中存在多种类型的实物期权，但由于其相互之间存在着依赖关系，在进行战略经济评价时，不能简单地求和。文中针对油气勘探开发项目中存在的两种典型实物期权--终止期权和停启期权的特点和价值构成进行了分析。终止期权是综合考虑项目盈亏状况的战略价值，停启期权则充分考虑了项目进行过程中的灵活性价值。基于二叉树理论构建的期权复合计算模型，有效地解决了不同类型期权价值的复合计算问题，并通过实例展示了这两种期权价值复合的效果。

STUDY ON STRATEGIC ECONOMIC EVALUATION OF OIL & GAS EXPLORATION PROJECTS BASED ON COMPOUND REAL OPTIONS

Many uncertainties exist in the oil &; gas exploration and production (E&;P) projects, like large investment, long period of pay out, complicated techniques, and high level risks. The real options theory, which is derived from the financial field, may handle the various uncertainties effectively. There are many kinds of real options lying in the oil and gas E&;P projects. However, these options are interactive, which makes the strategic economic evaluation of an E&;P project more complicated, since different kinds of option values cannot just be summed up. Two kinds of options, which are abandonment option and shutdown option, are analyzed here. The abandonment option fully considers the profit and loss of an E&;P project. And the shutdown option takes the flexibility of an E&;P project into account. A compound option model is constructed here based on the binomial theory, which helps to calculate out the compound value of different kinds of options. An instance is discussed to demonstrate the compound model.