本文選題：實物期權(quán) + 不確定性��； 參考：《山西財經(jīng)大學(xué)》2016年碩士論文

【摘要】：隨著社會的發(fā)展,對能源的需求越來越多,我國天然氣資源較少,未來將不能滿足日益增長的需求。煤層氣作為天然氣的替代能源,受到高度的重視。我國擁有豐富的煤層氣資源,儲量全球第三,我國煤層氣產(chǎn)業(yè)起步于上世紀(jì)末,經(jīng)過20多年的發(fā)展,取得了重大進步。對于煤層氣企業(yè)來說如何評估煤層氣開發(fā)項目的價值以及選擇最佳的投資時機具有重要的意義。煤層氣項目投資金額大、不可逆、回收期長,項目的不確定性高,以NPV為代表的傳統(tǒng)投資決策方法由于忽視了項目投資過程中蘊含的戰(zhàn)略靈活性和管理柔性,往往低估了項目的價值,進而導(dǎo)致錯誤的決策。本文將實物期權(quán)方法引入煤層氣項目投資決策分析過程,運用實物期權(quán)的方法研究不確定性條件下的煤層氣開發(fā)項目的價值評估以及投資時機選擇問題。論文首先介紹了實物期權(quán)的基本理論以及其在實物投資領(lǐng)域的應(yīng)用;然后研究煤層氣項目投資的特點,分析項目投資過程中的不確定因素,指出了以NPV為代表的傳統(tǒng)投資決策方法的缺陷與不足,提出了將實物期權(quán)方法引入煤層氣項目投資決策的必要性;在開發(fā)階段,煤層氣項目受技術(shù)不確定性影響減少,本文假定煤層氣儲量、地質(zhì)條件、開發(fā)工藝與技術(shù)等不確定性因素的信息已被基本掌握,則煤層氣的價格成為影響項目價值的主要因素。假設(shè)煤層氣的價格隨機過程遵循幾何布朗運動,利用B-S期權(quán)定價模型評估項目的價值,選擇最優(yōu)投資時機;本文利用Matlab軟件進行數(shù)據(jù)的處理,并繪制相關(guān)圖像進行研究分析,計算出在最佳投資價格*P時的煤層氣項目的價值,分析了在不同價格水平下,企業(yè)可以進行的投資選擇。當(dāng)價格P(27)0P時,項目NPV價值小于零,企業(yè)應(yīng)該放棄項目;當(dāng)*0(27)?PPP時,企業(yè)可以選擇等待,等價格達到最優(yōu)價格時再進行投資;當(dāng)*PP?時,企業(yè)應(yīng)立即進行投資,此時可以獲得最佳經(jīng)濟效益。同時也分析了不同投資時機對項目價值的影響,并將實物期權(quán)法下煤層氣項目投資決策與NPV法下進行了對比分析,指出實物期權(quán)法適用性和科學(xué)性;最后對影響模型三個主要參數(shù)進行了敏感性分析。實物期權(quán)法既考慮了項目投資的時間價值,也考慮了項目投資決策過程中蘊含的戰(zhàn)略靈活性和管理的柔性,從而能夠更加科學(xué)準(zhǔn)確地對項目的價值進行評估,選擇最佳的投資時機。在我國,實物期權(quán)法的應(yīng)用還比較少,希望本文提出的實物期權(quán)法能夠給煤層氣企業(yè)帶來啟發(fā),將實物期權(quán)法應(yīng)用到投資決策過程中,結(jié)合NPV法,進行科學(xué)準(zhǔn)確地決策,以獲得最大的經(jīng)濟效益。
[Abstract]:With the development of society, the demand for energy is more and more, and the natural gas resources in our country are less, which will not meet the increasing demand in the future. As an alternative energy of natural gas, coalbed methane (CBM) is highly valued. Our country has abundant coal bed methane resources, reserves the third in the world, our country coal bed methane industry starts at the end of last century, after more than 20 years development, has obtained the important progress. It is of great significance for CBM enterprises to evaluate the value of CBM development projects and choose the best investment opportunity. The investment amount of CBM project is large, irreversible, the payback period is long, and the uncertainty of the project is high. The traditional investment decision-making method represented by NPV ignores the strategic flexibility and management flexibility contained in the investment process of the project. The value of the project is often underestimated, leading to the wrong decision. In this paper, the real option method is introduced into the investment decision analysis process of coalbed methane project, and the real option method is used to study the evaluation of the value of the coal-bed methane development project under uncertain conditions and the choice of investment opportunity. This paper first introduces the basic theory of real option and its application in the field of real investment, and then studies the characteristics of CBM project investment, analyzes the uncertain factors in the process of project investment. This paper points out the defects and shortcomings of the traditional investment decision method represented by NPV, and puts forward the necessity of introducing the real option method into the investment decision of coalbed methane project, and at the stage of development, the influence of technical uncertainty on the CBM project is reduced. This paper assumes that the information of uncertain factors such as coal bed methane reserves, geological conditions, development process and technology has been basically grasped, then the price of coal bed methane becomes the main factor affecting the value of the project. Assuming that the price stochastic process of CBM follows geometric Brownian motion, the B-S option pricing model is used to evaluate the value of the project, and the optimal investment opportunity is chosen. In this paper, the data are processed by Matlab software, and the related images are drawn for research and analysis. The value of the CBM project at the best investment price is calculated, and the investment options of the enterprise under different price levels are analyzed. When the NPV value of the project is less than zero, the enterprise should give up the project. When the price is less than 270P, the enterprise can choose to wait until the price reaches the best price before investing. When, the enterprise should carry on the investment immediately, can obtain the best economic benefit at this time. At the same time, it also analyzes the influence of different investment opportunities on the project value, and compares the investment decision of CBM project under real option method with that of NPV method, and points out the applicability and scientific nature of real option method. Finally, the sensitivity of the three main parameters of the model is analyzed. The real option method not only considers the time value of the project investment, but also considers the strategic flexibility and management flexibility in the decision-making process of the project investment, so it can evaluate the value of the project more scientifically and accurately. Choose the best time to invest. In our country, the application of the real option method is relatively few. I hope the real option method proposed in this paper can enlighten the coal bed methane enterprises, and apply the real option method to the investment decision-making process, combining with the NPV method, we can make scientific and accurate decision. In order to obtain the maximum economic benefit.
【學(xué)位授予單位】：山西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F426.22;F406.7

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