实物期权整合模型在石油勘探开发项目中的应用

基于决策树和二叉树的整合模型是目前比较可行的一种实物期权定价方法。该方法把影响项目经济价值的所有不确定性分为两类——市场不确定性和技术不确定性。本文利用该方法对一个位于阿塞拜疆的实际石油项目进行了评价,识别出了对项目经济性具有较大影响的5个不确定性因素（输入变量）：油价、投产初期产量（Initial Production Rate）、递减率（Decline Rate）、总投资（CAPEX）和操作成本（Variable Cost）。通过分析,该项目可能存在多种实物期权。利用该整合模型并应用DPL软件建模估算了这一石油项目的扩张期权、放弃期权和复合期权的价值。     

Application of option pricing theory to R&D

Abstract
Much attention has been paid in the literature to methods for the evaluation and selection of R&D projects. The evidence is that these are less extensively used than might be expected. More recently, an approach based on Option Pricing Theory has been suggested as one which is likely to be of considerable value to management. In this paper the method is described, the information which is required is identified and the way in which it might be applied in practice is discussed.     

Technology search investments: evolutionary,option reasoning,and option pricing approaches

How do firms allocate limited search resources among substituting technologies with uncertain prospects? This paper contrasts three different approaches. The first follows evolutionary theorists' portrayals of decision‐making processes under bounded rationality. The second approach—real option reasoning—fosters flexibility by investing in more than one technology and postponing the decision to specialize. Following the third approach—real option pricing—firms base their search investments on forward‐looking calculations of technology option prices. We lay out the contrasting theoretical assumptions behind each of these three approaches and construct a simulation model to compare their implications. Copyright © 2004 John Wiley & Sons, Ltd.     

A strategic approach to industrial product pricing: The pricing plan

Price planning is one of the most overlooked areas in industrial marketing. Traditionally, emphasis is placed on product development, advertising strategy, and distribution channel formation before any consideration is given to pricing. The result is that industrial pricing decisions are made quickly without the necessary market and cost factors included in the final decision. The pricing decision is at the core of every business plan and impacts directly on the critical components of a company's marketing strategy. In this article, the importance of price planning in industrial marketing is discussed including the major components needed to make an industrial pricing strategy successful.     

An option approach to the new product development process: a case study at Philips Electronics

The paper considers the product development process as a series of (real) options with reducing uncertainty over time. Criteria are developed to decide on speeding up or delaying the development process. The paper demonstrates how, in the R&D phase, any particular project may be assigned within a 2 × 2 matrix of uncertainty versus R&D option value. A similar matrix can be established for the product launch phase. The matrices support portfolio management throughout the different phases of development and enable management to decide on an appropriate point at which to abandon individual projects. The approach originates from applying real options insights into the product development process at Philips Electronics. The paper is illustrated with some actual R&D projects.     

Variance-enhancing corporate entrepreneurship under deregulation: An option portfolio approach

The current study draws upon the real option portfolio theory to examine the relationship between deregulation and corporate entrepreneurship. We propose that a firm could respond to deregulation with variance-enhancing corporate entrepreneurial activities (CEAs), which increase the portfolio value of real options to exploit the upside opportunities and constrain the downside loss. We develop two dimensions of CEAs—frequency and diversity—to capture the value of the option portfolio, and we propose that these two dimensions contribute to a company’s long-term equity return and innovation performance. We test these arguments with 526 Chinese listed firms in five innovative industries from 2001 to 2005, and we find significant support for our hypotheses. Our empirical findings and the option portfolio approach carry important implications for entrepreneurship theory and policy. The CEA portfolio could be a useful tool to configure and allocate strategic investments proactively.     

Project valuation in the pharmaceutical industry: a comparison of least‐squares Monte Carlo real option valuation and conventional approaches

Least‐squares Monte Carlo simulation (LSM) is a promising new technique for valuing real options that has received little or no attention in the pharmaceutical industry. This study demonstrates that LSM can handle complex valuation situations with multiple uncertainties and compounded American‐type options. The limited application of real option valuation (ROV) in the pharmaceutical industry is remarkable, given the importance of accurate project valuation in an industry that requires large investments in high‐risk projects with long pay‐back periods, which is furthermore suffering from ever‐increasing development costs and shrinking profit margins. The LSM model developed in this study is constructed as an extension of a discounted cash flow model that should be familiar to economists active in the pharmaceutical industry. A number of pharmaceutical projects have been evaluated using LSM ROV, binominal real option valuation and expected net present value techniques. The different results yielded by these methods are explained in terms of differences in risking assumptions and ability to capture the value of flexibility. The analysis provides a framework to introduce the basic concepts of real option pricing to a non‐specialist audience. The LSM model illustrates the potential for real‐life commercial assessment as the versatility of the technique allows for an easy customisation to specific business problems.     

A game-theoretic approach to behavioral food risks: The case of grain producers

Food risks may be caused by malpractice of suppliers who exploit the fact that their production processes and resulting product properties cannot be directly observed by buyers. The probability of malpractice increases with the profits that can be earned through opportunistic behavior. In this paper, we develop a moral hazard model for the empirical analyses of behavioral risks. It accounts for the essential fact that incomplete inspection and tracing increase the profitability of rule-breaking behavior, and that monitoring, tracing and sanctioning are costly. Using the model, we first demonstrate how to design efficient contracts in various situations. In a case study, we then analyze farmers’ incentives with regard to the minimum waiting period after fungicide use. Data are gathered in interviews with three large-scale German farmers and a grain dealer. We find that, while their perception of parameters varies widely, high temptations for rule-breaking arise in some cases. We conclude that empirical moral hazard analyses have significant potential to shed light on behavioral risks.     

Usage sensitivity and priority coding: a flexible approach to telecommunications pricing

This article proposes a priority coding system to decrease peak telephone demand and decrease costs to the telephone company. The system has been used for computer time and decreases the cost of servicing off-peak users as well as decreasing the price to such users.     

俄罗斯内外销原油定价体系浅析

俄罗斯原油市场牌价均采用挂靠国际基准原油牌价的目的地定价方法。俄罗斯出口原油井口价格主要受港口FOB价格、出口税、管输费3方面因素的影响。其中,俄原油出口税与油价正相关,但出口税政策存在时滞性的缺陷,当国际油价波动较大时,对企业收益影响较大。在不考虑国内、国外购买商招标溢价的情况下,美元口径下国内市场扣除增值税和运费的内销净价与国际市场扣除出口税和运费的外销净价相当,这使得俄国内炼油厂得到了充分的原油供应。俄罗斯内外销原油市场定价体系在国内税收政策的配合下,达到了平衡内外销原油价格、平衡油田企业利润和稳定政府预算收入的目的,同时体系中存在着一些不足。     

国际原油市场的基本面态势和价格逻辑

全球石油市场按地缘格局划分,存在着三大区域平衡:第一个平衡是东西平衡,即苏伊士以东市场和苏伊士以西市场各自基本平衡;第二个平衡是跨大西洋两岸平衡,即美洲地区和欧洲地区也是各自基本平衡;第三个平衡是中东—亚太平衡.地缘供需格局与国际基准原油价格波动密切关联.基本面的平衡关系为,供应量-需求量=库存量. “供需存”模型对应的主要有三种价差,即跨期价差(Time spread)、跨区价差(Arbitrage)和裂解价差(Crack).各类价差是基本面的反映,价差交易也对基本面的改变提供反作用,使得基本面和价差实现回归和重构.通过对近期三类价差变化态势的分析,认为当前国际原油的基本面整体上处于“再平衡”的修复之中,而全球炼油毛利的持续下降,短期内将对炼厂原油需求构成节奏性的压制.此外,还要高度关注下半年国际原油市场供给侧存在的不确定性.     

加拿大油气价格被低估状况分析及对新项目评价工作的启示

结合国际基准原油价格以及主要区域基准天然气价格,对比分析了2001年以来的加拿大油气价格历史走势和现状,提出加拿大油气价格存在被低估的可能性。通过研究,确认了与世界基准原油美国WTI原油存在价格挂钩关系的加拿大原油价格存在被低估现象,也确认了受地区基准天然气美国HenryHub天然气价格影响的加拿大天然气价格存在被低估现象。分析了加拿大改变油气价格被低估状况的可能性。改变原油价格被低估现象的关键在于缓解WTI原油定价节点库欣地区的原油高库存压力,改变天然气价格被低估现象的关键在于通过LNG出口将目标市场从低气价的北美地区转向高气价的亚太地区,这些改变正在进行但需要时间。预测了加拿大油气价格在未来的可能走势,并据此提出对加拿大油气新项目评价工作的启示。     

An empirical investigation of the determinants of asymmetric pricing

This article empirically investigates the cause of asymmetric pricing: retail prices responding faster to cost increases than decreases. Using daily price data for over 11,000 retail gasoline stations, I find that prices fall more slowly than they rise as a consequence of firms extracting informational rents from consumers with positive search costs. Premium gasoline prices are shown to fall more slowly than regular fuel prices, which supports theories based upon competition with consumer search. Further testing also rejects focal price collusion as an important determinant of asymmetric pricing.     

Geographical indication and wine exports. An empirical investigation considering the major European producers

Adopting a gravity framework and using data from 1995 to 2009 for France, Italy and Spain, we investigate whether the designation of the production area has a positive pay-off in terms of greater export values, volumes and presence in different export markets. We find that quality wines produced in specified regions (QWPSR) are associated with higher exports values, while higher export volumes tend to materialize only towards high-income destination markets. Besides, the geographical designation appears increasing the extensive margin of trade. Therefore, QWPSR may represent a strategic tool for differentiation granting competitiveness in both traditional and less habitual markets. Not all producers, yet, seem to have benefited to the same extent from the geographical designation, raising the question of what harmonizing and/or promotional strategy should be adopted to enhance the effectiveness of the quality wine protection system.     

Understanding beliefs and concerns towards palm oil: Empirical evidence and policy implications

Over the last years palm oil has become a controversial product, due to its alleged harmful environmental and health effects. As a consequence, many food companies have taken concrete actions for meeting growing concerns. In this respect, a field survey was carried out amongst a sample of 607 Italian respondents, in order to highlight the potential effect of consumers’ attitudes towards health, social and environmental worries referred to palm oil consumption. Individual responses were statistically processed by means of a mixture model which allows for the detection of agreement and heterogeneity among respondents with respect to a given item. The results of this study suggest that respondents are worried for the current discussion on palm oil issues. This preoccupation affects both decision of purchasing and interest in further accurate knowledge. Overall, the consumer envisioned by the present study gives some hope on the effectiveness of consumer social responsibility in helping tackle food system sustainability concerns.     

高硫、高灰焦煤生产优质冶金焦配煤方案的比较

本文主要利用乌海地区1/3焦煤,分别配入青海煤,柳林煤和无烟煤,生产冶金焦,通过分析焦炭各项质量指标,比较三种配煤方案,探索利用高硫、高灰焦煤生产优质冶金焦的途径。     

期权在原油贸易中的应用及其风险与对策

套期保值是炼油企业和原油贸易公司锁定成本收益的重要手段。相较于原油期货和掉期等保值工具,期权可以以低成本有效对冲实货风险敞口,具有增加收益预期的优点。2021年6月21日中国原油期权合约正式上市交易,为中国企业开展期权保值提供了有利条件。结合原油贸易实货运作,探索期权在原油贸易保值中的应用,比较分析了不同情景下期权与掉期的保值效果和风险。原油交易期权在帮助企业实现保值目标的同时,存在期权的市场流动性风险、价格公允性风险、权利金价格波动风险、衍生品单边亏损导致的现金流风险、财务记账差异风险等。建议中国企业基于业务背景,合理制定保值方案;监控风险,明确止损机制;关注市场波动,谨慎操作期权组合;了解交易对手,谨防信用违约风险;建立有效的风险管理系统。     

An empirical analysis of competitive nonlinear pricing

We estimate a model of competitive nonlinear pricing with multidimensional preference heterogeneity using individual level data on advertisements bought by local businesses (e.g., doctors, electricians) from two Yellow Page Directories in one U.S. city-market. Variation in individual choices and payments allows us to identify the joint density of preferences, marginal costs of publishing and common utility parameters. Our estimates suggest substantial welfare loss due to asymmetric information. Comparing duopoly outcomes with (counterfactual) monopoly outcomes, we find that with less competition (i) producer surplus increases substantially; (ii) more “low-type” consumers are excluded; (iii) product variety increases, but benefits accrue only to the “high-type” consumers; (iv) total consumer surplus decreases; (v) but its distribution, across consumers, does not change.     

Case study: A conservative approach to green roof benefit quantification and valuation for public buildings

ABSTRACT

The U.S. federal government is routinely making severe spending cuts in an attempt to correct financial instability resulting from overspending. A more recently surfaced avenue of cost savings that is becoming increasingly popular is the implementation of sustainable design. One method of sustainable design or “green infrastructure” is installing vegetated roofs on top of buildings. Such projects require intensive cost analysis that can be extremely convoluted and difficult to present in a convincing manner. Furthermore, there is minimal guidance or literature that provides a methodology for actually quantifying these financial estimates. This article systematically decomposes decision points and calculations associated with a green roof cost analysis. This hybrid analysis strives to present the inherently specific variables such as region and building size while maintaining the generic representativeness to allow readers to replicate. Specific details are derived from the Southwestern region of the United States and generic values are national averages. A 25-year green roof life cycle is evaluated against a conventional roof to illustrate the economic differences associated with both roof types. This comparison strives to provide the framework for others to follow in their efforts to quantify the economic value of their respective green roof projects.