캬웕톶 2?0?0?7?年쓪第뗚5?期웚?能쓜源풴技벼术쫵与폫管맜理샭?1?3? ?基믹于폚随쯦舰믺假뇣利샻收쫕益틦的뗄媒쎺援첿资渥풴霖닉矿뿳根좨估맀价볛商솽因틲素쯘模쒣型탍?张헅金뷰锁쯸，ꎬퟞ邹绍짜辉믔，ꎬ샮李엳朋林쇖?(?컷西낲安뿆科벼技듳大톧学管맜理샭学톧院풺，ꎮ짂陕컷西西컷安낲7?1?0?0?5?4?)? [?햪摘?要튪]?煤쎺炭첿资源풴采닉矿뿳权좨可뿉以틔被놻认죏为캪是쫇一튻个룶多뛠期웚多뛠阶뷗段뛎的뗄复뢴合뫏看뾴涨헇实쪵物컯期웚权좨。ꆣ便뇣利샻收쫕益틦的뗄?变뇤뚯动将붫直횱接뷓影펰响쿬煤쎺炭첿资源풴采닉矿뿳权좨价볛值횵，ꎬ固만定뚨不늻变뇤的뗄便뇣利샻收쫕益틦或믲不늻考뾼虑싇便뇣利샻收쫕益틦都뚼?不늻能쓜准ힼ确좷地뗘反랴映펳煤쎺炭첿资源풴采닉矿뿳权좨价볛值횵的뗄变뇤化뮯。?假볙定뚨便뇣利샻收쫕益틦服럾从듓随쯦机믺布늼朗샊运퓋动뚯，ꎮ建붨?立솢了쇋便뇣샻利收쫕益틦和뫍煤쎺炭첿资源풴储뒢量솿价볛值횵都뚼随쯦机믺变뇤动뚯的뗄采닉矿뿳权좨估맀价볛两솽因틲素쯘模쒣型탍，ꎬ并늢通춨过맽?实싲샽例뷸进行탐了쇋验퇩证횤?O[?맘关볼键词듊]?煤쎺炭첿资源풴;ꎻ采닉矿뿳权좨;ꎻ뇣便利샻收쫕益틦;ꎻ实쪵物컯期웚权좨;ꎻ估맀价볛?[?훐中춼图럖分类샠号뫅]??F4?0?7?.ꎮ1? [?컄文쿗献뇪标识쪶码싫]??A [?컄文헂章编뇠号뫅]?1??6?72?-?99?4?3?(?20?0?7?)?05?-?0?01?3?-?0?4 ???틽?퇔?认죏为캪便뇣利샻收쫕益틦是쫇矿뿳产닺品욷价볛格룱和뫍时쪱间볤的뗄函몯数쫽，ꎬ但떫?0引言B?r?e??nn?a?n?和뫍S?c?h?w?r?t?s并늢没쎻有폐详쿪细쾸界뷧定뚨便뇣利샻收쫕益틦的뗄?煤쎺炭첿资源풴采닉矿뿳权좨是쫇指횸在퓚依틀法램取좡得뗃的뗄采닉矿뿳许탭可뿉?变뇤化뮯行탐为캪;ꎺ웤其쯻他톧学헟者퓲则假볙定뚨便뇣利샻收쫕益틦不늻变뇤或믲为캪零쇣。ꆣ?证횤规맦定뚨的뗄范랶围캧内쓚，ꎬ开뾪采닉煤쎺炭첿资源풴和뫍获믱得뗃所쯹开뾪采닉煤쎺?实쪵际볊中훐，ꎬ便뇣利샻收쫕益틦取좡决뻶于폚投춶资者헟对뛔标뇪的뗄资产닺价볛格룱?炭첿的뗄权좨利샻，ꎬ쫇是煤쎺炭첿资源풴资产닺쯹所有폐权좨派엉生짺出돶来살的뗄排업?和뫍风럧쿕险짏上的뗄죏认同춬，ꎬ也튲即벴便뇣利샻收쫕益틦可뿉以틔反랴映펳投춶资者헟?他쯻物컯权좨。ꆣ客뿍观맛、ꆢ릫公헽正、ꆢ폐有킧效뗘地뛔对쎺煤첿炭资풴源닉采뿳矿权좨进뷸?的뗄个룶죋人욫偏好뫃以틔及벰짺生产닺技벼术쫵对뛔标뇪的뗄资产닺存듦储뒢戚돉本놾的뗄?탐行估맀볛价뛔对实쪵现쿖煤쎺炭첿资源풴的뗄可뿉持돖续탸开뾪发랢尤폈为캪重훘要튪Oꆣ?影펰响쿬?。떱当헢这킩些틲因쯘素랢发生짺变뇤化뮯时쪱，ꎬ뇣便샻利쫕收틦益붫将늻不再퓙是쫇?关맘于폚采닉뿳矿权좨估맀볛价方랽面쏦的뗄퇐研究뺿，ꎬ西컷方랽发랢达듯国캧家볒开뾪始쪼?뎣常쫽数或믲뷶仅仅뷶쫇是뇪标的뗄资产닺볛价格룱和뫍时쪱间볤的뗄函몯数쫽，ꎬ而뛸将붫?于폚?2?0世쫀纪볍?70?年쓪代듺中훐期웚ꎬ中훐国맺퓲则开뾪始쪼于폚?80?年쓪代듺?是쫇随쯦机믺变뇤化뮯的뗄。ꆣ틲因듋此，ꎬ놾本컄文쫔试춼罔붨建솢立뇣便샻利쫕收益틦随쯦机믺?初돵。ꆣ经뺭过맽近뷼?30??a?的뗄퇐研究뺿，ꎬ탎形돉成쇋了틔以쫕收틦益쿖现횵值法램为캪?变뇤动뚯下쿂的뗄煤쎺炭첿资源풴采닉矿뿳权좨估맀价볛两솽因틲素쯘模쒣型탍。ꆣ?主훷的뗄닉采矿뿳权좨估맀价볛方랽法램?liꆣ떫但是쫇，ꎬ쫕收틦益쿖现횵值法램有폐一튻?룶만폐뗄좱쿝ꎺ컞램뾼싇풴뾪닉헟퓚뺭펪닟싔?1?? 便뇣利샻收쫕益틦及벰其웤变뇤动뚯模쒣式쪽?个固有的缺陷:无法考虑资惊开采者在经营策略上짏的뗄灵쇩活믮탔性或믲죡柔性탔，ꎬ这헢一튻固만有폐缺좱陷쿝导떼致훂了쇋它쯼往췹往췹?便뇣利샻收쫕益틦是쫇指횸现쿖货믵持돖有폐者헟实쪵现쿖的뗄，ꎬ而뛸以틔现쿖货믵?低뗍估맀矿뿳产닺资源풴的뗄价볛值횵[?叫ꆣ。쎺煤첿炭资풴源닉采뿳矿좨权뗄的볛价횵值?캪为뇪标的뗄资产닺的뗄衍퇜生짺物컯持돖有폐者헟没쎻有폐实쪵现쿖的뗄利샻益틦，ꎬ这헢?本놾훊质上짏쫇是一튻种훖좨权利샻뷰金，ꎬ持돖有폐煤쎺炭첿资源풴采닉矿뿳权좨可뿉以틔?些킩샻利益틦훷主要튪包냼括삨由평于폚商짌品욷短뛌缺좱而뛸导떼致훂价볛格룱波늨动뚯而뛸?认죏캪为持돖폐有了쇋一튻룶个多뛠웚期多뛠阶뷗段뛎的뗄复뢴合뫏看뾴涨헇实쪵物컯期웚权좨?产닺生짺的뗄授쫚予폨或믲者헟维캬持돖其웤生짺产닺运퓋行탐能쓜力솦产닺生짺的뗄收쫕???????ꆪ????????????????????????????????ꎻ맀볛?益틦?。퓚在뛔对쎺煤첿炭资풴源닉采뿳矿权좨进뷸行탐定뚨价볛的뗄过맽程돌中훐，ꎬ便뇣利(multi-stage compounding call real option )4;;估价샻?煤쎺첿炭资풴源닉采矿뿳좨权事쫂쪵实짏上就뻍是쫇估맀볛价这헢个룶复뢴合뫏实쪵物컯期웚?쫕收틦益反랴映펳了쇋市쫐场뎡对뛔煤쎺炭첿资源풴获믱利샻能쓜力솦的뗄期웚望췻，ꎬ由평?权좨。ꆣ由평?Bl?a?ck?、ꆢ?Sc?h?o?l?es?和뫍?Me?r?to?n?在퓚?20?쫀世纪볍?7?0年쓪代듺?폚于쎺煤炭첿资源풴닉采뿳矿权좨的뗄持돖폐有期웚都뚼较뷏长뎤，ꎬ并늢且쟒煤쎺炭첿资?初돵뒴创솢立的뗄期웚权좨定뚨价볛理샭论싛?(?Bꆪ-?Sꆪ-?M쒣模型탍)?캪为쎺煤첿炭资?源풴쫴属于폚一튻次듎耗뫄竭뷟性탔资源풴ꎬ在퓚뷱今뫳后较뷏长뎤时쪱期웚内쓚我컒国맺?源풴采닉뿳矿좨权맀估볛价랽方램法和뫍쒣模型탍的뗄建붨立솢奠뗬定뚨了쇋理샭论싛基믹?뗄的能쓜源풴市쫐场뎡将붫是쫇供릩小킡于폚求쟳，ꎬ这헢使쪹得뗃煤쎺炭첿资游풴、稀쾡缺좱?뒡???ꆣ???????뫍??????ꎻ?2ꆢ???????뫍??????J础[ Brennan和Schwrts:'、Paddock和Siegel'7ꆢ?탔性的뗄可뿉能쓜性탔加볓大듳，ꎬ则퓲便뇣利샻收쫕益틦就뻍越풽高룟;ꎻ另쇭一튻方랽面쏦，、ꎬ??????????l8JFrimpongꆢ、킻谢펢英쇁亮뫍和돂陈쓏南?飞ꆢ짲沈뫩洪和뫍李샮萍욼?:iOiꆢ、헅张뷰金?生짺닺产벼技쫵术的뗄进뷸늽步也튲쓜能降붵低뗍쎺煤炭첿的뗄存듦储뒢成돉本놾。ꆣ这헢些킩?锁쯸和뫍邹ퟞ绍짜辉믔?:1?.4、?"J等뗈学톧者헟在퓚?B-ꆪ?Sꆪ-?M뗄的믹基뒡础上짏对뛔期웚?뚼都会믡떼导致훂뇣便利샻쫕收益틦的뗄变뇤化뮯。ꆣ便뇣샻利收쫕益틦作ퟷ为캪标뇪的뗄资?좨权뚨定볛价理샭싛论퓚在뿳矿튵业쇬领폲域的뗄펦应用폃뷸进行탐了쇋퇐研究뺿。ꆣ在퓚这헢?产닺收쫕益틦的뗄一튻部늿分럖，ꎬ퓚在맀估볛价中훐应펦该룃加볓以틔考뾼虑싇，ꎬ固만定뚨不늻?킩些研퇐究뺿中훐，ꎬ?Br?e?n?n?an?和뫍?Sc?h?w?r?ts?쳡提出돶了쇋뾼考虑싇矿뿳产닺品욷?变뇤뗄的뇣便샻利收쫕益틦믲或不늻뾼考虑싇便뇣샻利收쫕틦益都뚼늻不能쓜准ힼ确좷地뗘反랴?现쿖믵货볛价룱格、ꆢ뿳矿닺产品욷웚期믵货볛价룱格和뫍뇣便利샻쫕收益틦之횮间볤的뗄关맘?映펳煤쎺炭첿资源풴采닉矿뿳权좨价볛值횵的뗄变뇤化뮯。ꆣ?쾵系뛔对헽正좷确分럖析컶自ퟔ然좻资源풴投춶资是쫇非럇常뎣有폐价볛值횵的뗄，ꎮ并늢?맘关于폚뇣便利샻쫕收益틦的뗄变뇤动뚯쒣模式쪽，ꎬ国맺外췢学톧者헟亦틠有폐较뷏?多뛠的뗄研퇐究뺿结뷡果맻，ꎬ튻一냣般죏认캪为퓚在完췪全좫竞뺺争헹的뗄市쫐场뎡中훐，ꎬ便뇣?믹뷰쿮쒿ꎺ맺볒ퟔ좻뿆톧믹뷰쿮쒿??????????샻利收쫕틦益的뗄뇤变动뚯쒣模式쪽表뇭现쿖为캪均뻹质훊回믘复뢴过맽程돌。ꆣ关맘于폚便뇣?基金项目:同家自然科学基金项目(90410014)
캬웕톶 ?1?4? 헅张뷰金쯸锁等뗈믹基于폚随쯦机믺便뇣利샻收쫕益틦的뗄煤쎺炭첿资游풴、닉采뿳矿좨权맀估볛价솽两틲因素쯘쒣模型탍??2?00?7?쓪年뗚第?5웚期?샻利收쫕益틦变뇤动뚯模쒣式쪽的뗄实쪵证횤研퇐究뺿将붫在퓚另쇭文컄中훐探첽讨쳖，ꎬ这헢?돉成놾本럖分뇰别늹补뎥偿资源풴쯹所폐有者헟、ꆢ国맺家볒쿠相맘关行탐헾政管맜理샭者헟?샯里不늻再퓙赘ힸ述쫶。ꆣ?뫍和짺生닺产要튪素쯘后뫳，ꎬ뮹还듦存퓚在뎬超뛮额利샻润죳，ꎬ떫但헢这늿部럖分샻利죳润不늻??쒣탍붨솢?쓜能맩归닉采뿳矿좨权持돖폐有者헟，ꎬ뛸而应펦该룃以틔采닉矿뿳좨权权좨利샻金뷰的뗄形탎?2 模型建立쪽式分럖配엤룸给资源풴쯹所有폐헟者，ꎬ因틲듋此采닉矿뿳좨权价볛值횵应펦等뗈于폚单떥?짨设?V，캪为쎺煤炭첿资源풴닉采뿳矿权좨떥单位캻价볛值횵ꎬ，?B，캪为떥单位캻?位캻资源풴储뒢量솿价볛值횵与폫?C?的뗄差닮额뛮，ꎬ폐有o?쎺煤炭첿资풴源储뒢量솿价볛值횵ꎬ，?P，为캪?t쪱时뿌刻떥单位캻쎺煤炭첿产닺品욷税쮰??V?,=??m?a?x?(?B?튻??ꎬ?????? ,-C, 0) (5)o뫳后볛价格룱ꎬ，?C캪为单떥位캻开뾪采닉成돉本놾，ꎬ有폐?B，?=?P，튻-?Cꎬ，假볙定뚨煤쎺?평由I?t?o틽引理샭及벰?F?e?y?n?ma?n?ꆪ-K?a?c?方랽程돌，ꎬ폐有?kk첿炭볛价룱格服럾듓从几벸何뫎布늼郎색运퓋动뚯ꎬ퓚在开뾪닉采돉成本놾固만定뚨不늻变뇤???ꆪ?????????ꆾ??????춮???튻?;dkvm叫σ州Vm+÷σ2δ2儿+뗄的잰前쳡提쿂下，ꎬ쎺煤첿炭资풴源뒢储솿量的뗄볛价值횵有폐以틔下쿂的뗄随쯦机믺过맽??????쫦??돌程。ꆣ??(r?--?8 )? VB B+? ?(α튻-?~ ?)kV -튻V?Tꎬ-r튻V?=?O? ??(6?)? 뺯手平?dt+σ1但(1)룃该方랽程돌的뗄解뷢为캪?쪽훐ꎬ?캪쎺첿풴뒢솿볛횵뇤뚯쮲쪱웚췻싊ꎬ?ꎬ?V??司??;T?[?F?N(?d?)튻-?Co?N(?d?吨??(?T)?)?]?(?7?)? 式中，μ为煤炭资源储量价值变动瞬时期望率，σl캪쎺첿풴뒢솿볛횵뇤뚯뗄쮲쪱뇪ힼ닮ꎻ???캪캬?웤훐ꎬ??????????ꎮ???2其中，d=[ln(F/C) + ~ I (J~ +σ;乓工2σlσ2ρ1-e-1/Tdt 3뗄뇤뚯쒣쪽뇭쿖캪뻹횵믖뢴맽돌ꎬ쯹틔ꎬ뿉볙뚨??ꇞJ U l 훱?k ????k 的变动模式表现为均值恢复过程，所以，可假定δ럾듓죧쿂쯦믺캢럖랽돌ꎺ?뷢解得뗃:ꎺ?服从如下随机微分方程:??????ꆪ??????????????、-2kTd8=k ( 0:--8) dt+σ2dZ2 (2) ??튻???쪽훐ꎬ?캪뎤웚욽뻹쫕틦ꎬ랴펳쇋뻹횵믘뢴돌뛈ꎻ?白(T)巾;+导1严\T+σ严午+式中，α为长期平均收益，反映了均值回复程度均k κ2k 캪为反랴映펳릩供쟳求信탅息쾢的뗄一튻个룶调뗷整헻速쯙度뛈指횸标뇪量솿;ꎻ?d?Z?为캪一2튻?룶뇪ힼ뗄?????맽돌퓶솿ꎻ?캪뇣샻쫕틦싊뗄?2?σ2 (町ρ子튻?)?1-:2 个标准的Winner过程增量;同为便利收益率的?波늨动뚯方랽差닮。ꆣ设짨c??ov??( d??Z?ꎬ, ?d?Z?)? ?=p?d?t? ꎬ•表뇭示쪾式쪽(?1?)?뫍和쪽式?J 2 煤쎺炭첿资源풴采닉矿뿳权좨持돖有폐的뗄数쫽量솿应펦该룃为캪在퓚现쿖有폐技벼?(?2? ?)헢这솽两룶个맽过돌程的뗄相쿠关맘关맘系쾵。ꆣ?术쫵下쿂年쓪度뛈可뿉开뾪采닉的뗄煤쎺炭첿资源풴储뒢量솿，ꎬ该룃储뒢量솿受쫜开뾪采닉?为캪了쇋能쓜更룼뫃好地뗘反랴映펳便뇣利샻收쫕益틦与폫쎺煤炭첿资掠풴储뒢量솿?쯙速뛈度和뫍回믘采닉率싊的뗄影펰响쿬。ꆣ煤쎺炭첿资源풴采닉矿뿳权좨价볛值횵来살源풴?价볛值횵的뗄关맘系쾵，ꎬ볙假定뚨存듦퓚在一튻个룶煤쎺炭첿资源풴交붻易틗的뗄期웚货믵?于폚年쓪뛈度可뿉开뾪닉采的뗄煤쎺炭첿资源풴储뒢量솿，ꎬ而뛸非럇已틑实쪵现쿖的뗄产닺?市쫐场뎡。ꆣ设짨?F(??B"?ꎬt?ꎬ，?T?)为캪?t쪱时웚期单떥位캻뒢储量솿煤쎺炭첿资晾풴在퓚?量솿。ꆣ뾪开닉采쯙速뛈度쫜受뾪开닉采技벼术쫵、ꆢ쎺煤첿炭닺产욷品뗄的쫐市뎡场릩供需탨状ힴ?到떽期웚?tE交붻割룮时쪱的뗄期웚货믵价볛格룱(?t?캪为1?a?,ꎬ2?? a?,ꎬ ꆭT? ?a)?.ꎬ? E况뿶以틔及벰国맺家볒宏뫪观맛政헾策닟等뗈因틲素쯘的뗄影펰响쿬，ꎬ这헢些킩因틲素쯘造퓬?便뇣利샻收쫕益틦与폫单떥位캻储뒢量솿价볛值횵以틔及벰单떥位캻储뒢量솿的뗄期웚货믵价볛?成돉开뾪采닉速쯙度뛈的뗄非럇线쿟性탔，ꎬ짨设뾪开닉采速쯙度뛈为캪q?"?ꎬ回믘采닉率싊为캪?格룱的뗄关맘系쾵可뿉以틔通춨过맽以틔下쿂的뗄方랽程돌表뇭示쪾:ꎺ?k?，ꎬ设짨可뿉开뾪采닉年쓪限쿞为캪n?，ꎬ可뿉开뾪采닉煤쎺炭첿资源풴储뒢量솿的뗄采닉?[?-짏8与?::+A(ꋩT)]? ??죕?ꎬ?ꎬ???ꎺ죕????矿뿳权좨价볛值횵为캪?F(B, ,t, T)=B，e协(3)式쪽中훐?V=ꎺ ꇆL ?e -?,(?n-?l)?V (?t)? (?q?,/k) (?8)? ??I? 튻í?λ\? . ?1句튻)?(J2P I? 式쪽中훐，ꎬV? (?t)?可뿉由평式쪽(?7?)?볆计算쯣(?폃用t?替쳦换뮻T?)?。ꆣ퓚在쪵实볊际的뗄?A (T)= l叫α丁!可1kι|巳运퓋用폃中훐，ꎬ샻利폃用쫕收벯集떽到的뗄交붻易틗数쫽据뻝，ꎬ뿉可틔以춨通맽过뛔对上짏面쏦?r、21 -2kT ??????????ꋮ?的뗄定뚨价볛公릫式쪽用폃N?L?S?(?N?on?-?lꆪi?n?e?a?r??le?a?s?t? s?q?u?a?r?es?)?进뷸行탐?1LJEL一+1(α-~ lk+σσρ-导1(4)二斗一3 4"’2 k'[\.几，.., u’ ) u’ 2" k 2 Jk 估맀计볆得뗃出돶持돖有폐收쫕益틦率싊中훐特쳘有폐的뗄参닎数쫽，ꎬ然좻后뫳用폃所쯹得뗃?式쪽中훐，ꎬλ?为캪便뇣利샻收쫕益틦风럧险쿕的뗄市쫐场뎡价볛格룱，ꎬ反랴映펳了쇋投춶资?的뗄参닎数쫽对뛔煤쎺炭첿资源풴采닉矿뿳权좨价볛值횵进뷸行탐估맀值횵。ꆣ?者헟对뛔于폚风럧险쿕的뗄偏욫好뫃程돌度뛈，ꎬ뿉可以틔볙假定뚨为캪常뎣数쫽jꎻr?为캪无컞?럧쿕샻싊ꆣ?3? 模쒣型탍应펦用폃?风险利率。设짨?V，为캪煤쎺炭첿资源풴采닉矿뿳权좨单떥位캻价볛值횵，ꎬ?B，为캪单떥位캻?陕짂西컷省쪡某쒳地뗘方랽煤쎺矿뿳现쿖有폐煤쎺炭첿资源풴储뒢量솿3??∞??0??煤쎺炭첿产닺品욷税쮰后뫳价볛格룱?R与폫开뾪采닉成돉本놾?G的뗄差닮额뛮.ꎬ?C。ꆣ?万췲t?(?厚뫱度뛈为캪2?.ꎮ?3-?2?.ꎮ8??时??，ꎬ쓪年짺生产닺能쓜力솦q?为캪1??50?万췲t?.ꎬ?为캪煤쎺矿뿳开뾪采닉投춶资的뗄机믺会믡成돉本놾(?也튲为캪煤쎺炭첿资源풴采닉矿뿳?回믘采닉率싊k?为캪0?.ꎮ?7ꆣ2?0?0?5?年쓪，ꎬ샛累볆计资놾本投춶资?K为캪8?.ꎮ?0?20?权좨的뗄执횴行탐价볛格룱)?。ꆣ当떱有폐B?，?>C??时쪱，ꎬ횤证쏷明퓚在틔以税쮰费럑和뫍?亿틚元풪。ꆣ该룃煤쎺矿뿳2?0?0?5?年쓪的뗄煤쎺炭첿市쫐场뎡坑뿓口뿚售쫛价볛(?不늻含o몬?
캬웕톶 ?2?0?07?年쓪第뗚5?期웚?能쓜源풴技벼术쫵与폫管맜理샭??1?5 ?税쮰)?为캪2?3?0?元풪/ꎯ?tꎬ떥，캻单뇤位变뚯动돉戚놾本为캪?50?.ꎮ?23?풪元/ꎯ?tꎬ，뿳矿즽山?资源풴采닉矿뿳权좨估맀价볛单떥因틲素쯘模쒣型탍(?见볻文컄献쿗[?1?1? ]? )?ꆢ、뇣便샻利?짺生产닺经뺭营펪时쪱年쓪罔춬定뚨费럑用폃为캪1??5?0?6?7?.ꎮ?5?0万췲元풪ꎬ，?C?=??受쫜益틦随쯦机믺变뇤动뚯的뗄双쮫因틲素쯘模쒣型탍等뗈二죽种훖方랽法램所쯹估맀算쯣的뗄?k1??5?0?6?7ꎮ.?5+? 1??5?0?+?5?0.ꎮ?23?=?1?5??0.ꎮ6??8 ?(풪元/ꎯt?)?ꎬ，틲因듋此떥单캻位쎺煤炭첿?룃该矿뿳煤쎺炭첿资源풴采닉矿뿳权좨价볛值횵如죧表뇭?3所쯹示쪾。ꆣ?表2便利收益随机变动情况下煤炭资源资풴摞뒢储量솿当떱前잰价볛值횵为캪?BrF2?3?0?-?1?5?0?.ꎮ?6?8?=?7?9ꎮ.3?2? ?(풪元ꎯ的?。?ꆣ?뇭?뇣샻쫕틦쯦믺뇤뚯쟩뿶쿂쎺첿풴?市쫐场뎡利샻率싊r?为캪8?ꎥ采矿权价值计算结果%ꎬ，뺭经맽过쫐市뎡场뗷调닩查럖分析컶，ꎬ쎺煤첿炭的뗄市쫐?닉뿳좨볛횵볆쯣뷡맻?场뎡价볛룱格波늨动뚯率싊为캪0?.ꎮ1??e-r(T-tl 75?ꎬ根룹뻝据单떥位캻煤쎺炭첿资源풴储뒢量솿价볛?年份e~(T~)V (t )x(q/k) B, Cv(T) o 2005 值횵与폫煤쎺炭첿价볛格룱的뗄线쿟性탔关맘系쾵ꎬ可뿉以틔认죏为캪煤쎺炭첿价볛值횵的뗄?市쫐场뎡波늨动뚯率싊?σ캪为0?.ꎮ1??75?ꆣ。资源풴쮰税费럑合뫏计볆为캪2?元풪/tꎯ?，ꎬ?2006 2007 企웳业튵所쯹得뗃税쮰为캪3?3?9ꎥ奋ꎬ，웤其쯼它쮰税럑费8?ꎥ%(?웤其中훐教뷌育폽附뢽加볓?2008 3?ꎥ%，ꎬ돇城쫐市붨建짨设쮰税为캪5?ꎥ%)?。ꆣ?2009 퓚在采닉用폃煤쎺炭첿资源풴采닉矿뿳权좨估맀价볛两솽因틲素쯘模쒣型탍计볆算쯣?2010 2011 煤쎺炭첿资源풴采닉矿뿳权좨价볛值횵时쪱ꎬ必뇘须탫좷确定뚨煤쎺炭첿资源풴采닉矿뿳?权좨的뗄횴执行탐价볛格룱，ꎬ即벴煤쎺炭첿投춶资的뗄机믺会믡成돉本놾。ꆣ在퓚本놾例샽?2012 2013 中훐，ꎮ짧社믡会욽平뻹均쫕收틦益率싊R?为캪1??0ꎥ%ꎬ，틲因듋此쎺煤뿳矿资놾本投춶?2014 资的뗄机믺会믡成돉本놾C?。?캪为?8?0?2?0?万췲元풪/ꎯ?aꆣ。?2015 닉采用폃文컄献쿗[?1?1? ]?쯹所쇐列볆计쯣算랽方램法，ꎬ볆计쯣算룃该쎺煤첿炭资?2016 2017 源풴采닉뿳矿权좨的뗄剩쪣余폠持돖有폐期웚如죧表뇭l?所쯹示쪾。ꆣ从듓表뇭l?可뿉以틔?看뾴出돶，ꎬ在퓚2?0?1?8?年쓪时쪱，ꎬ벴即第뗚?1?4?a?时쪱，ꎬ룃2018 该쎺煤뿳矿的뗄쪣剩余폠?储뒢量솿开뾪采닉完췪，ꎬ틲因듋此쪣剩폠余开뾪采닉期웚为캪1??4?a?ꆣ。?表3三种估价方法估价结果比较뇭表1?剩쪣余폠持돖有폐期웚的뗄计볆算쯣结뷡果맻?双因素模型收益单因素N(d)x IN(d)x (便利受益随机22现值法模型年份T-td, dN(d,) N(d) 2 2变动)(q/k)q’/k ) 2005 1 剩좨余뿤ퟜ?可볛开횵采닉ꎯ췲?煤풪炭?资源풴采닉矿뿳?39?47?9.ꎮ4?6? 72? 8?16?.ꎮ?42? 7?3?33?0.ꎮ0?9? 权总价值/万元2006 2 2007 3 单떥位캻采닉矿뿳权좨价볛值횵ꎯI(?元풪/ꎯ?t)? 1??3.ꎮ1??4 ??2?4.ꎮ2?7? ?2?4?.ꎮ4?4?? 2008 4 从듓表뇭?3뿉可以틔看뾴出돶，ꎬ뾼考싇虑뇣便利샻收쫕益틦的뗄随쯦机믺变뇤化뮯，ꎬ?2009 5 计볆算쯣出돶的뗄煤쎺炭첿资源풴采닉矿뿳权좨价볛值횵高룟于폚采닉用폃?DC?F?法램?2010 6 2011 7 和뫍쎺煤첿炭资풴源采닉矿뿳权좨估맀价볛单떥因틲素쯘模쒣型탍计볆算쯣出돶的뗄结뷡?2012 8 맻果?。这헢是쫇由평于폚便뇣샻利收쫕益틦的뗄变뇤化뮯能쓜提쳡高룟煤쎺炭첿资源풴采닉?2013 9 矿뿳좨权执횴탐行的뗄机믺会믡，ꎬ能쓜源풴供릩需탨关맘系쾵紧뷴张헅导떼致훂煤쎺炭첿资?2014 10 풴源的뗄稀쾡좱缺性탔日죕益틦퓶增强잿或믲生짺产닺技벼术쫵的뗄进뷸步늽降붵低뗍了쇋煤쎺?2015 11 첿炭的뗄存듦뒢储成돉놾本，ꎬ헢这些킩都뚼可뿉以틔提쳡高룟쎺煤炭첿资源풴采닉矿뿳权좨?2016 12 2017 13 돖持有폐者헟获믱得뗃潜잱在퓚收쫕益틦的뗄可뿉能쓜性탔Oꆣ?2018 14 샻폃룃뿳????쓪?퓂?죕훁????쓪?퓂?4??结뷡?论싛?利用该矿2003年1月1日至2005年1月1죕日뿓坑口??쫛售볛价쫽数据뻝，ꎮ采닉用폃o?r??ig?in?7.ꎮ?0数쫽据뻝分럖析컶软죭件볾对뛔?便뇣利샻收쫕益틦为캪常뎣数쫽或믲不늻考뾼虑싇、뇣便샻利쫕收틦益뚼都늻不쓜能准ힼ?떥单位캻煤쎺炭첿资源풴储뒢量솿价볛值횵的뗄变뇤化뮯过맽程돌进뷸行탐拟쓢合뫏，ꎬ根룹?确좷地뗘反랴映펳煤쎺炭첿资源풴采닉矿뿳权좨价볛值횵的뗄变뇤化뮯。ꆣ便뇣利샻收쫕益틦?뻝据上짏文컄对뛔便뇣利샻收쫕益틦的뗄定뚨义틥，ꎬ뷡结뫏合쓢拟뫏合뷡结果맻取좡?σ为캪?쫇是指횸由평于폚标뇪的뗄资닺产持돖有폐者헟从듓暂퓝时쪱的뗄标뇪的뗄资产닺短뛌缺좱??ꎮ????ꎬ?캪?ꎮ?ꎬ??캪?ꎮ??ꎬ?캪??ꆣ닉폃쪽???뛔?中훐믱获샻利믲或헟者캬维돖持웤其生짺产닺能쓜솦力产닺生짺的뗄收쫕益틦。ꆣ在퓚假볙定，k为，σ2为，p为。采用式(8)对뚨?룃该煤쎺矿뿳的뗄煤쎺첿炭资源풴닉采矿뿳权좨进뷸行탐计볆쯣算，ꎬ计볆算쯣的뗄结뷡果맻?便뇣샻利收쫕틦益服럾듓从均뻹值횵回믘复뢴过맽程돌的뗄基믹础뒡土짏，ꎬ建붨立솢了쇋该룃?죧뇭?쯹쪾ꆣ?过맽돌程下쿂的뗄便뇣利샻收쫕益틦和뫍煤쎺炭첿资源풴储뒢量솿价볛值횵都뚼随쯦机믺变如表2所示。뇤?퓚在便뇣利샻收쫕益틦随쯦机믺变뇤动뚯情쟩况뿶下쿂，ꎬ룃该쎺煤炭첿资源풴采닉?뚯动的뗄采닉矿뿳权좨估맀价볛솽两因틲素쯘模쒣型탍。ꆣ该룃쒣模型탍比뇈便뇣利샻收쫕益틦?矿뿳权좨价볛值횵计볆算쯣结뷡果맻为캪7?3??3?3?0?.ꎮ?09?万췲元풪，ꎬ떥单캻位쎺煤炭첿?为캪常뎣쫽数的뗄煤쎺炭첿资풴源采닉矿뿳权좨估맀价볛模쒣型탍更룼能쓜反랴映펳投춶资?풴닉뿳좨볛횵캪??ꎮ??풪ꎯ?ꆣ쫕틦쿖횵램ꆢ쎺첿?헟者的뗄个룶人죋偏욫好뫃以틔及벰生짺产닺技벼术쫵变뇤化뮯对뛔采닉矿뿳权좨价볛值횵的资源采矿权价值为元/to收益现值法、煤炭뗄?
캬웕톶 1?6?? 헅张金뷰锁쯸等뗈基믹于폚随쯦机믺뇣便利샻收쫕益틦的뗄煤쎺炭첿资源풴采닉矿뿳权좨估맀价볛两솽因틲素쯘模쒣型탍??2?∞?7?年쓪第뗚5?期웚?影펰响쿬。ꆣ??Pr?o??ce?e?d?i?ng? ??o?f ?币?l?e?3?n??d ??CA?M??I ?C??o?n?f?e?re?nc??e,ꎬ ?M?o?n?tre??al?,ꎬ? ?닎뾼컄쿗??C?a?na?d??aꎮ????ꎺ???ꆫ???ꎮ?,1995:120-128. [参考文献]?[?9J?谢킻英펢亮쇁，ꎬ陈돂南쓏.ꎮ튻一훖种믹基폚于웚期좨权뚨定볛价理샭싛论的뗄矿뿳山즽评움估맀简볲?[?1? J?张헅金뷰锁쯸.ꎮ뿳矿컯物资풴源资닺产맀估볛价랽方램法研퇐究뺿?[D?]?.ꎮ西컷安낲·ꎺ컷西安낲?化뮯模쒣型탍[?J??Jꎮ资풴源科뿆学톧，ꎬ2??0?∞?，ꎬ2?2?(?1?)?ꎺ:2??7ꆪ-3??0 ꎮ?交붻通춨大듳学톧，ꎮ2?0?0?2?.ꎮ??[ l??OJ?짲沈洪뫩，ꎬ샮李萍욼可ꎮ뿉延퇓迟동的煤뗄炭쎺开첿采뾪权닉的좨估뗄价맀方볛法랽[램1]??.?ꎮ山즽?[?2? J? ?B?re??nn??an?,ꎬ ?M? a??nd? ?S??ch?w??rt?s,ꎬ ?E? S?.ꎮ ?E?va??lu??at?i?on?? n??at?ur?a?l? 뚫东科뿆技벼大듳学톧学톧报놨(自?ퟔ然좻科뿆学톧版)냦，?ꎬ?20?0?1?ꎬ，?2?0(?2?)?:ꎺ?68?-ꆪ7?0?.ꎮ??in?v??es??tm??en??ts? ?[J?]?.ꎮ ?jo??u?m??al? o??f? b??us?i?ne?s?s?,ꎬ1??98?5?,ꎬ5?8? (?2?)?:ꎺ ?1?3?5ꆪ-?[? 1?1? J? ?Z?h?an?g? ?J?i?ns?u?o?ꎬ, Z?o?u? ??Sh??ao??hu?i?.ꎮ?The? ??O?n?e ꆪ-f?ac?t?o?r? M??o?de?l? ?o?f ?1??57?.ꎮ ??V?a?lu?a?t?in?g? ??M?in?ing?? R?i?g?ht?s ??o?f? C??o?al? R??es?o?u??rc?e?s? ??Ba?s?e?d? ??o?n? [?3?J? ?M?o?ye??n? ?N,ꎬ S??la?de?? ?M.ꎮ ?V?a?lu?i?ng? ?r?is?k?? ?an?d? ??f?le?x?i?b?il?tyꆪ-a? ??O?pt?io??n? T?he?o?r?y.ꎮ? ?A?d?v?a?nc?e?s? ??in? ??M?a?n?a?g?e?me??nt? ?o?f? c?o?m??p?a?ris?o?n? ?o?f? ?m?et?ho?d?s?[?J?]?.ꎮ ?Re?s?o??u?r?c?es?? ?Po?l?ic?y?,ꎬ1??98?7?,ꎬ(?22?)?:ꎺ? ?T?ec?h?n?o?l?og?y? ?-P?r?o?c?e?e?d?i?ng?s? ??o?f ?币?l?e??I?nt?em?a?t?i?on??al? 6??3?-7?4? ꎮ??C?o?nf?e?r?e?nc??e ?o?n? ?M??a?n?a?g?em??e?nt? o?f? T??ec?h?n?o?l?og?yꎬ, ?E?di?to?r?:ꎺꎮ ??[?4J?헅张金뷰锁쯸，ꎬퟞ邹짜绍믔辉ꎮ.쎺煤첿炭资풴源닉采뿳矿좨权웚期좨权볛价횵值탎形돉成机믺理샭?Z?H?A?N?G?? H?e?n?r?yꎬ, Z?H?A?N?G?? ?Su?o??di?,ꎬ G?U?O? ?S??hu?f?e??nꎬ, A??u?s?si?no? ?[?J?J?.ꎮ西컷安낲科뿆技벼大듳学톧学톧报놨(?自ퟔ然좻科뿆学톧版냦)?,ꎬ2??0?06?,ꎬ3??6 (?1?)? :ꎺ? ?A?ca?d?e?m?i?c? P?u?b??li?sh?i?ng? ?H?o??u?se?,ꎬ T?a?i?y?u?a?n,ꎬ 2??0?06?.ꎮ ?3??7?5ꆪ-3?8?0?ꎮ ??????????ꎬ????????ꎮ????????????????????????????????[?ퟷ作헟者简볲介뷩]?[5 J Black F, Scholes M.币lepricing of options and corporate L??ia?b?i?l?it?i?es? ?[1?]?.ꎮ J??o?um??a?l? ?o?f ??P?o?lit?ic?a??l ?Ec?o?n?o?m?y?ꎬ,1??9?73?ꎬ,8?1?(?3)?:ꎺ? 헅张金뷰锁쯸(1???9?62?-튻)?ꎬ，쓐男ꎬ，짂陕컷西럧风쿨翔죋人，ꎬ뷌教쫚授，ꎬ늩博쪿士，ꎬ늩博쪿士生짺?6??7?3?-6?5?4?.ꎮ? 떼导师쪦，ꎬ훷主튪要듓从쫂事资풴源뺭经볃济与폫管맜理샭、ꆢ맜管샭理쾵系춳统릤工돌程和뫍高룟等뗈教뷌??[6?J? M??e?rt?o?n? R?? ?C.ꎮ?ηꆯl?e?? t?h?e?o??η?o?f? r?a?t?io??na?l? o??p?ti?o?ns? ?a?n?d?? p?r?i?ci?n?g? ?폽育管맜理샭等뗈方랽面쏦的뗄教뷌学톧和뫍研퇐究뺿工릤作ퟷ。ꆣ??[J?]?.ꎮ b??el?l? j?o?u??m?al? o?f? ?ec?o?n??o?mi?cs? ?a?n?d?? m??an??ag??em?e?n?t? s??ci?e?nc?e?,ꎬ? 邹ퟞ绍짜辉믔(?1??9?72?튻斗?，ꎬ쓐男ꎬ，쯄四??川?듯达쿘县人죋，ꎬ붲讲쪦师，ꎬ퓚在횰职늩博쪿士퇐研究뺿?1?9?7?3?,ꎬ4?(?1?)?:ꎺ 1??41??-1?8?3?.ꎮ? 짺生，ꎬ훷主튪要듓从쫂事资풴源뺭经볃济与폫管맜理샭、ꆢ믡会볆计톧学뗈等랽方쏦面的뗄教뷌学톧和뫍研퇐?[?7? ?J ?P?ad?d?o?c?k? ?J?? ?L ,ꎬ ?S?ie?g?e?l? ?D? ?R ,ꎬS??mi?t?h? J?? L?.ꎮ ?O?pt?io?n?? v?a?l?u?a?ti?on?? ?o?f? 究뺿工릤作ퟷ。ꆣ????????????????????ꎺ???????????????????????????claims on real assets the case of ofIshore petroleum 李샮朋엳林쇖(1???96??4-튻)?ꎬ，쓐男ꎬ，짂陕컷西ퟓ子훝州죋人，ꎬ뢱副뷌教授쫚，ꎬ늩博士쪿，ꎬ쮶硕士쪿??lea??se?s? [?J?J? ꎮ.Q??ua??r?te?r?l?y ?J?o?u??ma?l? o??f ?E?c?o?n?o??mi?cs?,ꎬ?1?98?8?,ꎬ?1?03?(?3?)?:ꎺ ?生짺导떼师쪦，ꎬ훷主튪要듓从쫂事뷰金죚融릤工程돌、ꆢ쾵系춳统릤工돌程뗈等랽方쏦面的뗄뷌教学톧和뫍研퇐????ꆪ???ꎮ?479 -508. 究뺿工릤作ퟷ。ꆣ?[?8? J? F??rim?p?o?n??g? S?,ꎬ W??h?it?in?g?.ꎮ A??n ?O??pt?i?mi?z?e?d ?2?D?? ?M?o?d?el? ?o?f ?[?쫕收룥稿日죕期웚ꎺ:?2?0?0?7ꆪ-0??8ꆪ-1?8?J?C??o?m?pl?ex?? M??in?e? ?F??e?a?si?b?il?it?y ?S??tu??di?es?? ?U?s?in?g? ?D?M??V.ꎮ ?T?w??o?-f?a??c?t?o?r? ?Mo?d?e?l? o??f? V??a?l?u?at?i?n??g? ?Mi??ni??ng?? R??ig??h?ts?? ?o?f? C?o?a?l? R?e?s??o?u?rc?e?s?? U??n?d?e?r? ?th?e?? C?o??nd?i?t?i?o??n? o??f? S??to??c?h?as?t?i?c?? ?Co??nv??e?ni?e??nc?e?? Y??i?e?l?d? ?ZH?A?N?G? ?J?i?n?-s?u?o?,ꎬ ?ZO?U? ?S??h?a?oꆪ-h?u?i?,ꎬ ?LI? P??e?n?g?-l?i?n? (?Sc??ho?o?l? ?o?f ?M??a?na?g?e??m?en?t?,ꎬ X?i?an? ??U?ni?v?er?s?i?t?y? o?f? ?Sc?i?en??c?e ??an?d? ?T?e?c?h?n?o?l?o?g?y,ꎬ X?i?an? ??71??0?05??4,ꎬ ?C?hi?na?)? ?????????ꎺ???????????????????????????????????????????????????????????????????????????????????????????Ahstract: Mining rights of coal resources can he regarded as a multi -stage compounding real call option h?a?s?e??d? ?o?n? ?????????????????ꎮ??????????????????????????????????????????????????????????????????ꆪ?the option theory. The convenience yield affects the value of mining rights hecause it in›??????????????????????????ꎮ???????????????????????????????????????????????????????????????????fluences the real call option. Assuming the convenience yield to he constant or not considering the c??o?n?v?e?ni?e??n?c?e? ?yi?e??l?d? c??a?n’?t? ?re??fl?e?ct? ??????????????????????????????????ꎮ?????????ꎬ????????????????ꆪ?the change of values of mining rights. The paper, assuming the con›?????????????????????????????????????????????ꎬ????????????????????????????????????????????venience yield follows a mean-reverting process, sets up the two-factor model of valuating mining ????????????????????????????????????????????????????????????????????????????????????????????????rights of coal resources under conditions of stochastic convenience yield and stochastic value of ?????????????ꎬ????????????????????????????????????????????ꎮ?coal reserves, and then verifies the model through a real example. ?????????ꎺ??????????????ꎻ????????????ꎻ???????????????????????????ꎻ??????????ꎻ??????????Key Wo rds: coal resources; mining rights; stochastic convenience yield; real option; valuating
