基于实物期权的石油勘探项目序列投资决策模型

摘要

基于实物期权思想下序列投资决策理论与方法,构建了石油勘探项目序列投资决策模型.运用回溯法,逆序求解得出各阶段最优投资规则下项目价值临界值的解析表达式.通过数值算例对模型进行了应用,并验证了各项不确定性因素对最优投资临界值的影响程度.研究表明:随着勘探进程的不断深入,各阶段最优投资临界值呈现逐渐下降的趋势;各不确定性因素对最优投资临界值的敏感性程度依次为便利收益、无风险报酬率及石油价格波动率;无风险报酬率及石油价格波动率和最优投资临界值正相关,便利收益和最优投资临界值负相关.结果显示,实物期权方法能够充分捕捉石油勘探投资项目各阶段不确定条件的动态变化,有助于勘探主体分阶段做出最优投资决策.%This paper established an optimal investment decision-making model for petroleum exploration projects based on the sequential investment decision-making theory and methods of real options. It ob-tained an analytical solution to the critical values of all stages under the optimal investment rules by the method of backwards. Then it verified the impact of uncertainties on the optimal critical values of the in-vestment using the comparative static analysis of numerical simulation. The results showed that the criti-cal values of all stages ' optimal investments showed a gradually downward trend with the exploration process . The order of the degree of sensitivity of the relevant parameters on the critical values of the opti-mal investments is the convenience yield,risk-free rate and the volatility of petroleum prices. The risk-free rate and the volatility of oil price were positively correlated with the critical values of optimal invest-ments. The convenience yield was negatively correlated with the critical values of optimal investments. It is concluded that the real options method could not only fully capture the dynamic changes of variousstages of the investment projects,but also make decisions more flexibly and sequentially.