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基于全周期估算的实物期权经济评价方法
The Real Option Evaluation Model On The Basis Of Whole Cycle Volatility Estimation
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- DOI:
- 作者:
- 周庆
- 作者单位:
- 大庆油田研究院
- 关键词:
- 波动率；蒙特卡洛；实物期权；产能项目；风险分析
volatility, monte carlo, real option, production project, risk analysis
- 摘要:
- 实物期权评价方法是对传统经济评价方法的一种延伸，对不确定性因素及其相应的环境变化做出积极响应。采用实物期权突破了原有经济评价的“静态”评价，不再将不确定性因素作为消极的因素来看待，而是研究如何利用不确定性因素来获得更大的收益。通过充分发挥决策的灵活性，将决策灵活性的价值计入到项目价值中去，使决策者通过分析决策，增加项目的价值。文章通过分析低渗透油田产能项目效益影响因素，基于现金流量法，以蒙特卡洛模拟方法为基础，建立了考虑全周期波动率估算的实物期权经济评价方法。评价结果显示，它能更真实评估项目的实际价值和潜力。
The real option evaluation method can be more accurately evaluate the production project investment value and potential in uncertainty investment, for it takes account of the productivity construction project investment management flexibility, uncertainty and irreversibility. Meanwhile the construction period and operation period of cash outflows likely losses make conventional volatility estimation methods are difficult to use in the capacity of project evaluation. Basing on the analysis of volatility properties on the project of capacity, this article put forward a full cycle of volatility parameter estimation method under the condition of real option model of random changes in cash flow conditions using DCF method and Monte Carlo simulation method, which solves the problem of estimating the rate of fluctuation in the real option evaluation.
