基于实物期权的煤层气开发项目投资决策与应用研究

发布时间：2018-05-02 23:57

本文选题：实物期权 + 不确定性　；参考：《山西财经大学》2016年硕士论文

【摘要】：随着社会的发展,对能源的需求越来越多,我国天然气资源较少,未来将不能满足日益增长的需求。煤层气作为天然气的替代能源,受到高度的重视。我国拥有丰富的煤层气资源,储量全球第三,我国煤层气产业起步于上世纪末,经过20多年的发展,取得了重大进步。对于煤层气企业来说如何评估煤层气开发项目的价值以及选择最佳的投资时机具有重要的意义。煤层气项目投资金额大、不可逆、回收期长,项目的不确定性高,以NPV为代表的传统投资决策方法由于忽视了项目投资过程中蕴含的战略灵活性和管理柔性,往往低估了项目的价值,进而导致错误的决策。本文将实物期权方法引入煤层气项目投资决策分析过程,运用实物期权的方法研究不确定性条件下的煤层气开发项目的价值评估以及投资时机选择问题。论文首先介绍了实物期权的基本理论以及其在实物投资领域的应用;然后研究煤层气项目投资的特点,分析项目投资过程中的不确定因素,指出了以NPV为代表的传统投资决策方法的缺陷与不足,提出了将实物期权方法引入煤层气项目投资决策的必要性;在开发阶段,煤层气项目受技术不确定性影响减少,本文假定煤层气储量、地质条件、开发工艺与技术等不确定性因素的信息已被基本掌握,则煤层气的价格成为影响项目价值的主要因素。假设煤层气的价格随机过程遵循几何布朗运动,利用B-S期权定价模型评估项目的价值,选择最优投资时机;本文利用Matlab软件进行数据的处理,并绘制相关图像进行研究分析,计算出在最佳投资价格*P时的煤层气项目的价值,分析了在不同价格水平下,企业可以进行的投资选择。当价格P(27)0P时,项目NPV价值小于零,企业应该放弃项目;当*0(27)?PPP时,企业可以选择等待,等价格达到最优价格时再进行投资;当*PP?时,企业应立即进行投资,此时可以获得最佳经济效益。同时也分析了不同投资时机对项目价值的影响,并将实物期权法下煤层气项目投资决策与NPV法下进行了对比分析,指出实物期权法适用性和科学性;最后对影响模型三个主要参数进行了敏感性分析。实物期权法既考虑了项目投资的时间价值,也考虑了项目投资决策过程中蕴含的战略灵活性和管理的柔性,从而能够更加科学准确地对项目的价值进行评估,选择最佳的投资时机。在我国,实物期权法的应用还比较少,希望本文提出的实物期权法能够给煤层气企业带来启发,将实物期权法应用到投资决策过程中,结合NPV法,进行科学准确地决策,以获得最大的经济效益。
[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.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F426.22;F406.7

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