%0 Journal Article
%T A SIMPLIFIED MODEL FOR MINE VALUATION BASED ON OPTION PRICING THEORY
一种基于期权定价理论的矿山资产评估简化模型
%A XIE Ying-liang
%A CHEN Nan
%A
谢英亮、陈南
%J 资源科学
%D 2000
%I
%X The widely used DCF method in asset valuation does not take into account the fact that the decisionmakers of firm can have certain extent fixibilities to avoid risk in a uncertain environment,resulting in underestimation of a firm's value.After pointing out the pitfalls of DCF method,this paper introduces the concept of option pricing and its application to asset valuation,especially to mine valuation for which Brennan and Schwartz have established a mathematical model which includes main mining operation details.But however,it is too comlicated to solve its partial differential equations.The paper then presents a simplified model which can directly apply the standard Black and Scholes formula to the calculation without necessary solution of the differential equations.The simplification is based on the assumption that the cost of temporatory shut down and the reativation of mining operation can be neglected,which is not unrealistic in mining industry.Under such an assumption,a mine can be viewed as a call option holder who owns a set of options.The option at time t,if exercised,means paying mining cost to receive the mineral revenue.Since each option can only be exercised at its specified instant,these are European call options. Therefore,the mine's value can be calculated by Valuing each of these options,and then summing these values through the mine life.Finally a numerical example is given,and the result shows a 22% increase in mine value by comparing with the traditional DCF method.
%K Mineral resources
%K Asset valuation
%K Option pricing
矿产资源
%K 资产评估
%K 期权定价
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=B5EDD921F3D863E289B22F36E70174A7007B5F5E43D63598017D41BB67247657&cid=B47B31F6349F979B&jid=9DEEAF23637E6E9539AD99BE6ABAB2B3&aid=FBE1F4C76AE94BF68DC7DE377697FC48&yid=9806D0D4EAA9BED3&vid=BC12EA701C895178&iid=CA4FD0336C81A37A&sid=DB817633AA4F79B9&eid=340AC2BF8E7AB4FD&journal_id=1007-7588&journal_name=资源科学&referenced_num=8&reference_num=2