基于实物期权的石油项目投资决策研究

论文结合石油项目的具体特征,在价格不确定条件下研究石油开发投资决策背后的内在机制与路径。运用实物期权方法构建石油项目投资评估与决策模型,详细讨论各种不确定因素对石油项目投资价值与油价阈值的影响。在此基础上讨论了对石油价格首次达到阈值的期望时间与概率,对于企业把握投资时机具有重要的参考价值。

Research on Investment Decision of Petroleum Projects Based on Real Options Approach

Taking into consideration of definite characteristics petroleum project, the paper analyzes the implicit mechanism and path within petroleum investment decision process under conditions of price uncertainty. Then, the paper adopts the real options approach and builds the valuation and decision models on the petroleum project in which different factors' influence on the project value and optimal investment threshold are discussed in detail. And further, this paper introduces the concept of first hitting time, which is the time of petroleum price first triggering the investment threshold, and by using numerical method, investigates how the changes of different parameter values affect the hitting time and investment probability. To calculate the first hitting time is helpful to companies' grasp of investment time and has important management implication.