The two-factor model of evaluating mining rights of coal resources based on options

被引：3

作者：

张金锁 ^{[1
]}

邹绍辉 ^{[1
]}

师新民 ^{[2
]}

机构：

[1] School of Management,Xi'an University of Science and Technology,Xi'an 710054,China

[2] Department of Foreign Language,Xi'an University of Science and Technology,Xi'an 710054,China

来源：

International Journal of Coal Science & Technology | 2008年 / 14卷 / 02期

基金：

中国国家自然科学基金;

关键词：

coal resources; mining rights; real option; stochastic convenience yield;

D O I：

暂无

中图分类号：

TD82 [煤矿开采];

学科分类号：

081901 ;

摘要：

MRCR could be regarded as a multi-stage compounding real option,based on option theory,assuming the convenience yield of coal reserves to be constant,built a one-factor model of valuating MRCR with the stochastic value of coal reserves.On the basis of our one-factor model,set up a two-factor model of evaluating MRCR assuming the convenience yield follows the mean-reverting process.When applied to valuate the MRCR of a coalmine,this model gives higher values than the one-factor model and the NPV.This is because the increase of convenience yield can improve the executive oppor- tunity of MRCR.

引用

页码：321 / 325

页数：5

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[4]

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[5]

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