| 摘要: |
| 分析未开k油田投资决策的实物期权特征,建立未开发油田价值评估和投资时机选择模型，运用蒙特卡罗方 法模拟原油价格波动的随机过程,并求解美式延迟期权及原油价格波动率和无风险利率等模型参数,最后通过案例 计算标的油田的价值和最优开发时间。结果表明,所建模型能够突破传统贴现现金流法的局限，可以为决策者提供 客观的依据,帮助决策者更充分地了解投资项目所面临的风险和潜在收益,使最终决策更加客观、科学。 |
| 关键词: 石油经济 实物期权 蒙特卡罗模拟 投资决策 未开发油田 |
| DOI： |
| 分类号: |
| 基金项目:国家自然科学基金项目(70841024) |
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| Establishment and application of evaluation and investment timing model for undeveloped oilHeld |
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ZHAO Lin, FENG Lian-yong
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(School of Business Administration in China University of Petroleum, Beijing 102249, China)
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| Abstract: |
| The real option traits within the development of an undeveloped oilfield project were analyzed, and a novel evaluation and investment timing model was established. Monte Carlo method was used to simulate the stochastic process of price fluctuation for crude oil and to evaluate the delay option. The calculation of the parameters in the model was discussed. The model was applied to calculate the value of an underlying undeveloped oilfield and the optimal time to develop in a practical case. The results show that the new model can break the limitation of traditional discounted cash flow method，and provide objective proofs to decision-makers and help them to realize the internal risk and potential benefits of the investment project more clearly, which makes the decision process more objective and scientific. |
| Key words: petroleum economics real option Monte Carlo simulation investment decision-making undeveloped oilfield |
