基于三叉树模型的矿业投资决策方法优化研究

发布时间：2018-05-21 16:06

本文选题：投资决策 + 实物期权　；参考：《西安建筑科技大学》2014年硕士论文

【摘要】：矿业项目投资金额大、运营时间长、投资不可逆性等特点，使其在决策中面临着诸多的不确定性，这些不确定的潜在因素又是构成矿业期权价值的关键要素。在对以往矿业投资决策方法的梳理研究中发现，决策者往往忽略了这些潜在的不确定性因素，多是凭借以往经验主观臆断，又或是借助一些过去的传统方法进行价值评估。这种决策上存在缺陷的理念，使得投资决策变得更盲目、随机。因此，如何客观分析期权价值，实现科学合理的决策就成为了研究的关键。矿业项目的投资被看成是一种延期的看涨期权，其价格的波动不仅会造成边界品位确定值的波动，，同时对矿石储量、矿山服务年限等因素都有较大的影响。就主流的传统净现值法而言，它忽视了动态信息对于投资决策的影响，即期权价值。这种对于项目真实价值的失实评估，会导致投资者做出错误的决策，丧失其对投资行为的有效指导。本文针对传统净现值法的上述不足，探讨了实物期权理论中三叉树模型对传统净现值法进行改进的可行性；通过对矿山建设运营中年开采量、原矿成本、选矿成本、管理费用等现金流的流入流出进行全面客观的分析，建立了针对矿业投资决策的净现值模型，并在此基础上引入实物期权理论思想，通过“价格树—净现值树—期权树”的三叉树期权定价模型实现优化改进。同时，为了对投资决策分析提供更为直观的指导，应用了最佳投资决策下确立“栏杆价格”理论的方法，并以实际数据进行了期权定价模拟，以提供较为客观、可信的决策支持。研究结果表明，对于传统净现值法的改进，可以更为全面合理地评估矿业投资决策中的潜在期权价值。该方法不仅实现了矿产品价格对边界品位、矿山服务年限等因素的量化，同时提升了期权理论对于矿业项目投资决策的准确度，对丰富和完善矿业项目投资决策方法有较好的理论和实践价值。
[Abstract]:The characteristics of large investment amount, long operating time and irreversibility of investment in mining projects make them face many uncertainties in decision-making. These uncertain potential factors are also the key factors that constitute the value of mining options. In the past mining investment decision-making methods combing research found that policymakers often ignore these potential uncertainties mostly based on previous experience subjective assumption or with some of the past traditional methods to evaluate the value. This kind of decision has the defect idea, causes the investment decision to become more blind, random. Therefore, how to objectively analyze the value of options and realize scientific and reasonable decision becomes the key of research. The investment of mining project is regarded as a kind of delayed call option. The fluctuation of price will not only cause the fluctuation of boundary grade, but also have great influence on ore reserves, mine service life and other factors. As far as the traditional net present value method is concerned, it ignores the influence of dynamic information on investment decision, that is, option value. This misevaluation of the real value of the project will lead investors to make wrong decisions and lose their effective guidance on investment behavior. Aiming at the deficiency of traditional net present value (NPV) method, this paper discusses the feasibility of improving traditional NPV method by using tri-tree model in real option theory, and discusses the feasibility of improving NPV method by means of middle age mining, raw ore cost and mineral dressing cost in mine construction and operation. The inflow and outflow of cash flow, such as management expenses, are analyzed comprehensively and objectively, the net present value model for mining investment decision is established, and the real option theory is introduced on this basis. The option pricing model of "price tree-net present value tree-option tree" is optimized and improved. At the same time, in order to provide more intuitionistic guidance for investment decision analysis, the method of establishing "balustrade price" theory under optimal investment decision is applied, and the option pricing simulation is carried out with actual data to provide more objective. Credible decision support. The results show that the improvement of the traditional net present value method can evaluate the potential option value in mining investment decision more comprehensively and reasonably. This method not only realizes the quantification of mineral product price to boundary grade, mine service life and other factors, but also improves the accuracy of option theory for investment decision of mining project. It has good theoretical and practical value to enrich and perfect the investment decision method of mining project.
【学位授予单位】：西安建筑科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F426.1;F224

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