基于实物期权和期权博弈理论的油船投资决策分析

发布时间：2018-07-10 05:28

本文选题：油船运输 + 实物期权　；参考：《天津大学》2012年硕士论文

【摘要】：本文立足于当前我国石油需求量日益增加,而国内石油供不应求,对外依存度越来越高的的基本情况。运用实物期权及期权博弈的理论,建立模型,分析海上石油运输企业的油船投资与决策,本文研究工作对于海上石油运输企业的投资决策具有指导意义。本文首先通过搜集大量资料、数据,分析我国石油储备情况及运力现状对比,得出我国石油储备量不足,需要大量进口石油,但是海上运输受到油船数量缺乏的限制,远远达不到“国油国运”的结论。因此,国家大力组建油船船队,以确保我国石油运输的安全和通畅。组建船队,就要面临油船建造、运营的油船投资问题,本文引用在经济领域运用越来越广泛的实物期权理论,以及与博弈论相结合的期权博弈理论对油船投资加以分析。文章先将实物期权法与传统NPV理论进行对比,分析出实物期权理论运用于油船投资领域的优越性,再以实际市场为依托,分别研究了市场繁荣和市场低迷两种情况下的油船投资问题。在市场繁荣条件下,运用期权博弈理论对两个企业的寡头垄断情形进行分析,分别计算出各个企业的投资临界值与相应的最优价值函数,利用matlab软件进行编程,模拟出企业的价值函数曲线,并将此种算法扩展到多家企业竞争的情形下;在市场低迷的条件下,运用实物期权的二叉树定价模型,对油船运输企业的停启期权及放弃期权分别进行分析,计算出相应的期权价值。在以上两种市场条件的分析计算中,都举出实例用以对理论模型加以验证,并且更加直观的看出实物期权及期权博弈理论运用于油船投资领域的适应性和优越性。
[Abstract]:This paper is based on the fact that the demand for oil in our country is increasing day by day, but the domestic oil supply exceeds the supply, and the degree of dependence on foreign countries is becoming higher and higher. Based on the theory of real option and option game, this paper establishes a model to analyze the investment and decision of oil tanker in offshore oil transportation enterprises. The research work in this paper is of guiding significance to the investment decision of offshore oil transportation enterprises. First of all, by collecting a large amount of data and data, analyzing the situation of petroleum reserves and the present situation of transportation capacity in China, it is concluded that the oil reserves in China are insufficient and a large number of imported oil is needed, but the sea transportation is limited by the lack of the number of oil tankers. Far from reaching the conclusion of "national oil and national luck." Therefore, the country establishes the tanker fleet to ensure the safety and smooth transportation of oil in our country. In order to set up the fleet, we will face the problem of oil tanker investment in construction and operation. This paper uses the theory of real options which is more and more widely used in the economic field and the option game theory combined with game theory to analyze the investment of oil tanker. By comparing the real option method with the traditional NPV theory, the paper analyzes the superiority of the real option theory in the field of oil tanker investment, and then relies on the actual market. In this paper, the problem of oil tanker investment under the condition of market boom and market depression is studied respectively. Under the condition of market prosperity, the paper analyzes the oligopoly of two enterprises by using option game theory, calculates the investment critical value and the corresponding optimal value function of each enterprise, and uses matlab software to program. The value function curve of the enterprise is simulated, and the algorithm is extended to the case of multiple enterprises' competition. Under the condition of the market downturn, the binomial tree pricing model of real options is used. This paper analyzes the stop-start option and the abandon option of the tanker transportation enterprise, and calculates the corresponding option value. In the analysis and calculation of the above two kinds of market conditions, examples are given to verify the theoretical model, and the adaptability and superiority of the real options and option game theory in the field of oil tanker investment are more intuitively seen.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F552;F426.22

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