[1]邹绍辉.随机利率的煤炭资源采矿权估价双因素模型[J].西安科技大学学报,2010,(01):81-85.
 ZOU Shao-hui.Two-factor model evaluating coal resources mining rights based on stochastic[J].Journal of Xi'an University of Science and Technology,2010,(01):81-85.
点击复制

随机利率的煤炭资源采矿权估价双因素模型()
分享到:

西安科技大学学报[ISSN:1672-9315/CN:61-1434/N]

卷:
期数:
2010年01期
页码:
81-85
栏目:
出版日期:
2010-01-29

文章信息/Info

Title:
Two-factor model evaluating coal resources mining rights based on stochastic
文章编号:
1672-9315(2010)01-0081-05
作者:
邹绍辉
西安科技大学 管理学院,陕西 西安 710054
Author(s):
ZOU Shao-hui
School of Management, Xi'an University of Science and Technology, Xi'an 710054, China
关键词:
煤炭资源 采矿权 期权 Vasicek利率
Keywords:
coal resources mining rights option Vasicek interest rates
分类号:
TD985
文献标志码:
A
摘要:
煤炭资源采矿权具有和股票看涨期权一样的期权特性,本质上是一种按年度执行的多期看涨期权。利率变动将直接影响煤炭资源采矿权价值,实证研究表明Vasicek利率模型能较好地拟合我国无风险利率变动过程。建立了基于Vasicek随机利率的煤炭资源采矿权估价双因素模型,通过一实例对该模型进行了运用,结果表明该模型较现金流量法更能反映资源所有者的权益,并且随着均值回复系数的增大,运用该模型得出的采矿权价值将变小。
Abstract:
The coal resources mining rights has the same characteristics as option, which is a multi-periods call option exercised annually. The behavior of interest rates will directly affect the value of coal mining right. Vasicek interest rates can better fit the changing tendency of risk-fee interest rates in China. With coal price following stochastic Brown process, a two-factor model evaluating coal resources mining rights based on Vasicek interest rates is structured. Through a practical instance, the two-factor model, compared with DCF, can better reflect government's income as the owner of the resources. The value of this coal mining rights declines as the coefficient of mean-reverting increases.

参考文献/References:

[1] 张金锁,邹绍辉.煤炭资源采矿权期权价值形成机理[J].西安科技大学学报,2006,26(1):375-380. ZHANG Jin-suo,ZOU Shao-hui. Study on the mechanism of option value formation of coal mining rights[J]. Journal of Xi'an University of Science and Technology,2006,26(1):375-380.
[2] Black F, Scholes M. The pricing of options and corporate Liabilities[J]. Journal of Political Economy,1973,81:654-673.
[3] Merton R C. The theory of rational options and pricing[J]. Bell Journal of Economics and Management Science,1973,6:141-183.
[4] Brennan M J, Schwrts E S. Evaluation natural investments[J]. Journal of Business,1985,58(2):135-157.
[5] Paddock J L,Siegel D R,Smith J L. Option valuation of claims on real assets:the case of offshore petroleum leases[J].Quarterly Journal of Economics,1988,103(3):479-508.
[6] 沈 洪,李 萍.可延迟的煤炭开采权的估价方法[J].山东科技大学学报, 2001,20(2):68-70. SHEN Hong,LI Ping. The evaluation method of deferrable coal mining rights[J]. Journal of Shandong University of Science and Technology,2001,20(2):68-70.
[7] 张金锁.矿物资源资产估价方法研究[D].西安:西安交通大学,2001. ZHANG Jin-suo.Study on evaluation methods of mineral resources assets[D]. Xi'an: Xi'an Jiaotong University,2001.
[8] ZHANG Jin-suo,ZOU Shao-hui.The one-factor model of valuating mining rights of coal resources based on option theory[C].//ZHANG Henry, ZHANG Suo-di,GUO Shu-fen.Advances in Management of Technology Proceedings of The International Conference on Management of Technology. Taiyuan:Aussino Academic Publishing House,2006.
[9] Merton R C. The theory of rational options and pricing[J]. Bell Journal of Economics and Management Science,1973,(6):141-183.
[10]洪永淼,林 海.中国市场利率动态研究——基于短期国债回购利率的实证分析[J].经济学, 2006,5(2):511-533. HONG Yong-miao,LIN Hai.Performance of discrete time spot rate models in China:an empirical test on Chinese repo rates[J].China Economic Quarterly,2006,5(2):511-533.
[11]潘冠中,邵 斌.利率模型的极大似然估计——对中国利率的实证分析[J].财经研究,2004, 30(10):62-68. PAN Guan-zhong,SHAO Bin. Maximum likelihood estimation of single-factor interest rate models:empirical studies of Chinese interest rates[J]. Journal of Finance and Economics,2004,30(10):62-68.

相似文献/References:

[1]张金锁,邹绍辉.煤炭资源开采权期权价值形成机理研究[J].西安科技大学学报,2006,(01):121.[doi:10.3969/j.issn.1672-9315.2006.01.031]
 ZHANG Jin-suo ZOU Shao-hui.Study on mechanism of coal mining option[J].Journal of Xi'an University of Science and Technology,2006,(01):121.[doi:10.3969/j.issn.1672-9315.2006.01.031]
[2]侯慎健,王 佟,张 博,等.对新时代中国煤炭资源勘查工作发展思路的探讨[J].西安科技大学学报,2019,(02):341.[doi:10.13800/j.cnki.xakjdxxb.2019.0222 ]
 HOU Shen-jian,WANG Tong,ZHANG Bo,et al.Development of China's coalresources exploration in the new era[J].Journal of Xi'an University of Science and Technology,2019,(01):341.[doi:10.13800/j.cnki.xakjdxxb.2019.0222 ]

备注/Memo

备注/Memo:
基金项目: 国家自然科学基金项目(90410014,70873094); 高等学校博士学科点专项基金资助课题(200807040003); 西安科技大学博士科研启动基金(203-A5031108) 作者简介: 邹绍辉(1976-),男,四川达县人,博士,主要从事能源经济与管理研究.
更新日期/Last Update: 2010-01-29