基于实物期权的石油勘探项目序列投资决策模型

1.西安科技大学 能源学院,陕西 西安 710054; 2.西安科技大学 能源经济与管理研究中心,陕西 西安 710054; 3.延安大学 经济管理学院,陕西 延安 716000

石油勘探项目; 序列投资; 投资决策; 实物期权; 不确定性

A sequential investment decision-making model for petroleum exploration projects based on real options
WANG Ling1,2 ,ZHANG Jin-suo3

(1.College of Energy Science and Engineering,Xi'an University of Science and Technology,Xi'an 710054,China; 2.Research Center for Energy Economics and Management,Xi'an University of Science and Technology,Xi'an 710054,China; 3.College of Economics and Management,Yan'an University,Yan'an 716000,China)

petroleum exploration projects; sequential investment; investment decision-making; real options; uncertainties

DOI: 10.13800/j.cnki.xakjdxxb.2017.0108

备注

基于实物期权思想下序列投资决策理论与方法,构建了石油勘探项目序列投资决策模型。运用回溯法,逆序求解得出各阶段最优投资规则下项目价值临界值的解析表达式。通过数值算例对模型进行了应用,并验证了各项不确定性因素对最优投资临界值的影响程度。研究表明:随着勘探进程的不断深入,各阶段最优投资临界值呈现逐渐下降的趋势; 各不确定性因素对最优投资临界值的敏感性程度依次为便利收益、无风险报酬率及石油价格波动率; 无风险报酬率及石油价格波动率和最优投资临界值正相关,便利收益和最优投资临界值负相关。结果 显示,实物期权方法能够充分捕捉石油勘探投资项目各阶段不确定条件的动态变化,有助于勘探主体分阶段做出最优投资决策。

This paper established an optimal investment decision-making model for petroleum exploration projects based on the sequential investment decision-making theory and methods of real options.It obtained an analytical solution to the critical values of all stages under the optimal investment rules by the method of backwards.Then it verified the impact of uncertainties on the optimal critical values of the investment using the comparative static analysis of numerical simulation.The results showed that the critical values of all stages' optimal investments showed a gradually downward trend with the exploration process.The order of the degree of sensitivity of the relevant parameters on the critical values of the optimal investments is the convenience yield,risk-free rate and the volatility of petroleum prices.The risk-free rate and the volatility of oil price were positively correlated with the critical values of optimal investments.The convenience yield was negatively correlated with the critical values of optimal investments.It is concluded that the real options method could not only fully capture the dynamic changes of various stages of the investment projects,but also make decisions more flexibly and sequentially.