[1]李寿国,杨 厂.实物期权理论在边际品位最优化研究中的应用[J].西安建筑科技大学学报:自然科学版,2012,44(03):393-399.[doi:10.15986/j.1006-7930.2012.03.015]
　LI Shou-guo,YANG Chang.Research on cut-off grade in surface mining metalore deposits based on real option theory[J].J.Xi’an Univ. of Arch. & Tech.:Natural Science Edition,2012,44(03):393-399.[doi:10.15986/j.1006-7930.2012.03.015]
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实物期权理论在边际品位最优化研究中的应用()
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西安建筑科技大学学报:自然科学版[ISSN:1006-7930/CN:61-1295/TU]

卷:
44
期数:
2012年03期
页码:
393-399
栏目:
出版日期:
2012-06-30

文章信息/Info

Title:
Research on cut-off grade in surface mining metalore deposits based on real option theory
文章编号:
1006-7930(2012)03-0393-07
作者:
李寿国1; 杨 厂2
(1.西安建筑科技大学管理学院,陕西 西安 710055;2.西安建筑科技大学机电工程学院,陕西 西安 710055)
Author(s):
LI Shou-guo1;  YANG Chang2
(1.School of Management, Xian University of Architecture and Technology, Xian 710055,China; 2.School of Mechatronics Engineering, Xian University of Architecture and Technology, Xian 710055,China)
关键词:
实物期权; 价格模型; 边际品位优化; 蒙特卡罗模拟
Keywords:
real option;  price model;  optimization of cut-off grade;  Monte Carlo simulation
分类号:
TD85
DOI:
10.15986/j.1006-7930.2012.03.015
文献标志码:
A
摘要:
矿山资源开采可以被视为是一个多期多阶段的复合看涨期权过程,当前价格、便利收益、利率、随机波动、跳跃系数和跳跃值等都对矿产资源未来价格有较大影响.在参考研究现有理论的基础上构建了基于实物期权理论的矿产资源价格扩散-跳跃模型并获得解析解;通过随机模拟产生将来时刻的一些点价格;用蒙特卡罗模拟法分析了矿产资源的价格变化过程并反推出当前的最优边际品位值;最后以洛阳栾川钼矿为实例进行分析
Abstract:
Mining mineral resources is considered a multi-period and multi-stage compound European call option process. Present price, convenience yield, interest rates, stochastic volatility, hopping coefficient, hopping value, etc are the many economic coefficients which may have influence on the future price of mineral resources. After studying the existing theories of real options, we brought jump diffusion options price model is ushered into the study of mineral resources price; which produced some future prices by stochastic simulation. The price changing process is analyzed using Monte Carlo simulation and indirect gained the optimal present cut-off grade is gained. Finally, a mining enterprise is taken as an example to validate the results

参考文献/References:

[1] 谢英亮.露天矿边际品位最优化的经济分析[M].北京:冶金工业出版社,2006.
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CHEN Jin-long.Application research on real option pricing theories[M].Beijing:Machine Press,2007.
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备注/Memo

备注/Memo:
收稿日期:2011-12-31 修改稿日期:2012-05-20
基金项目:榆林市2011年校企产学研合作项目—煤矿及多矿种综合边际品位优化
作者简介:李国寿(1971-),男,甘肃白银人,博士研究生,副教授,主要从事矿山系统工程研究
更新日期/Last Update: 2015-09-01