基于实物期权理论的煤矿安全投资决策研究.doc

Research on the Safety InvestmentDecision-making of Coal Mines Based on the RealOption TheoryDissertation Submitted toXian University of Science and TechnologyIn Partial Fulfillment of the RequirementFor the Degree ofDoctor of Safety Technology and EngineeringBy:ZHAO Xue-pingSchool of Energy and ResourceDissertation Directed by: Professor TIAN Shui-chengJune, 2014 论文题目：基于实物期权理论的煤矿安全投资决策研究专业：安全技术及工程博士生：赵雪萍指导教师：田水承（签名）（签名）摘要安全投资是实现安全生产的重要因素之一，事关企业的安全管理水平。在煤矿安全生产中，煤矿安全投资是影响煤矿安全生产水平和经济效益的重要因素，如何科学合理地进行安全投资决策，使有限的投入取得尽可能高的安全标准和更好的经济效益，已成为煤矿企业迫切需要解决的安全经济管理问题。但是，传统的投资评价方法，不能更准确科学地衡量安全投资价值，影响了煤矿企业安全投资的积极性。因此，如何合理有效的评价煤矿安全投资价值已成为煤矿科学安全投资的关键。本文针对煤矿安全投资项目的特点，基于实物期权理论，对煤矿安全投资决策进行了研究，主要研究内容和成果如下：（1）基于煤矿安全投资的实物期权特性，研究了实物期权下的煤矿安全投资项目价值形成机理。在分析煤矿安全投资项目影响因素的基础上，明确了煤矿安全投资中引入实物期权的必要性，表明不确定条件下的煤矿安全投资是个动态的柔性管理过程，该过程中蕴含期权价值，提出煤矿安全投资项目价值由净现值和项目的期权价值两部分构成。（2）基于三叉树模型（又称三叉网格图），在无风险利率是常数情况下，推导建立了煤矿资产自身价值有收益率及煤矿安全投资项目有期权价值的煤矿安全投资的三叉树定价模型，并运用实例验证了该模型在标的资产价格运动为离散状态时，更能准确反映煤矿安全投资项目的价值。（3）基于 B-S模型，将模糊数学理论与实物期权理论相结合，利用改进的三角模糊数来表述标的资产价格、执行价格、项目价值波动率及无风险利率等 4个变量的不确定性，推导建立了煤矿安全投资的模糊 B-S实物期权定价模型，并利用 Microsoft VisualC+ 6.0编写计算程序得出模糊环境下的实物期权价值，解决安全投资项目的不确定性和模糊性问题。（4）对影响实物期权价值的标的资产价格、执行价格、项目价值波动率、无风险利率及到期时间等 5个因素进行了敏感性分析。结果表明：在煤矿安全投资中，资产当前价格、波动率、无风险利率与安全投资项目价值为正相关，执行价格、到期时间与安全投资项目价值为负相关，其中影响最大的因素是当前资产价格，即当前资产价格是影 响安全投资价值的关键因素。（5）对三叉树期权定价模型、模糊期权定价模型与传统期权定价模型进行比较分析，运用实例验证离散型三叉树模型与连续性模糊 B-S模型的一致性和准确性。结果表明：两种模型既能使煤矿安全投资的潜在机会价值得到充分体现，又能反映净现值法估算的静态价值，体现了煤矿安全投资是一个动态的柔性管理过程。总之，本文开展基于实物期权理论的煤矿安全投资决策研究，能够为煤矿企业进行科学决策提供理论依据，具有重要的理论和实践意义。关键词：安全投资；实物期权；三角模糊数；投资评价研究类型：应用基础研究 Subject: Research on the Safety Investment Decision-making of Coal MineBased on the Real Option TheoryMajor: Safety Technology and EngineeringName: ZHAO Xueping（Signature）（Signature）Instructor: TIAN ShuichengABSTRACTCoal mine safety investment is one of the important factors of coal mine safety inproduction and concerns the safety management level of enterprises. In the process of the coalmine production, coal mine safety investment is an important factor which influences the coalmine safety in production and economic benefit. How to make safety investment decisionsscientifically and reasonably to achieve the safety standards as high as possible and bettereconomic benefits with limited investment has become an urgent safety and economymanagement problem to be solved for coal mining enterprises. But the traditional investmentevaluation method cannot measure the value of safety investment more accurately andscientifically, which impacts the active safety investment of coal mine enterprises. Therefore,how to make the reasonable and effective evaluation of coal mine safety investment value hasbecome the key issue of coal mine safety science.Combining the characteristics of coal mine safety investment projects, and based on thereal options theory, this paper has studied the coal mine safety investment decision, the mainresearch contents and results are as follows:(1) Based on the real options characteristics of coal mine safety investment, this paperhas studied the mechanism of value formation of the coal mine safety investment projects.Based on analyzing the influencing factors of coal mine safety investment projects, this paperclarifies the necessity of the introduction of real options of coal mine safety investment. Thestudy shows that, under uncertain conditions, coal mine safety investment is a dynamicprocess of flexible management, and in this process，contains options value. Then the paperraises the issue, that the value of coal mine safety investment includes two parts, one is NetPresent Value, the other is option value of the project. (2) Based on the triple tree model (also called the triple grid chart), in the case thatrisk-free rate of interest is a constant, this paper has established triple tree pricing model ofcoal mine safety investment while coal mining assets value has yields and coal mine safetyinvestment projects have the option value. And a successful example is used to verifythe model can reflect the value of the coal mine safety investment projects more accurately,while the model is in the asset price move to discrete state.(3) Base on the B-S model, and combining the fuzzy mathematics theory and realoptions theory, it uses the improved triangular fuzzy number to describe the four variablessuch as underlying asset price volatility, executive price, the volatility of the project value andrisk-free interest rate, establishes B-S fuzzy real options pricing model of the coal mine safetyinvestment, and solves the problems of the uncertainty and fuzziness of safety investmentprojects, by using Microsoft Visual C+ 6.0 program to obtain the fuzzy real optionvalue under the fuzzy environment.(4) The five factors of asset price volatility, executive price, project value, risk-freeinterest rate and expiration time, which affects the real option value, has been analyzedsensitively. It is concluded that in the coal mine safety investment, assets of the current price,volatility, the risk-free interest rate and safety investment project value are positive correlated.Executive price, expiration time and safety investment project value are negative correlated.The current price is the most important factor. It means that the current asset price is the keyfactor influencing the safety investment value.(5) In this paper, the triple tree options pricing model, the fuzzy option pricing modeland the traditional option pricing model have been comparatively analyzed, and a successfulexample is used to verify the consistency and accuracy of the discrete trigeminal tree modeland continuity of fuzzy B-S model. Results show that the two models can not only make thepotential opportunity of coal mine safety investment value is fully reflected, but also reflectthe static value by the net present value method, which reflects the coal mine safetyinvestment is a dynamic process of flexible management.All in all, this paper carries out researches of coal mine safety investmentdecision-making based on the real option theory, it can provide theory basis for the coalmining enterprises to carry out scientific decision-making, and it has an important theoreticaland practical significance. Key words: Safety Investment, Real Option, Triangular Fuzzy Number, InvestmentEvaluationThesis: Basic Application Research 目录目录1绪论.11.1选题的背景及研究意义.11.1.1选题背景.11.1.2研究意义.21.2国内外研究现状.31.2.1安全投资理论研究现状.31.2.2实物期权理论研究现状.81.3研究的内容与方法.161.3.1研究内容.161.3.2研究方法和技术路线.172实物期权方法与传统投资决策方法比较.192.1实物期权理论与定价模型.192.1.1实物期权的概念.192.1.2实物期权的主要特点.222.1.3实物期权的类型.222.1.4实物期权的主要思想及应用.252.1.5实物期权定价模型.262.2传统的投资决策方法及评价.292.2.1静态分析方法及其评价.292.2.2动态分析方法及其评价.302.3实物期权与传统投资决策方法比较.312.4现有实物期权方法存在的问题.322.5本章小结.333煤矿安全投资项目价值的形成机理.343.1煤矿安全投资的内涵.343.1.1煤矿安全投资的相关概念.343.1.2煤矿安全投资的特点.353.2煤矿安全投资的期权特性及分类.373.2.1煤矿安全投资的期权特性.373.2.2煤矿安全投资期权的分类.393.3煤矿安全投资的影响因素.403.3.1安全投资决策的影响因素.40I 目录3.3.2煤矿安全投资价值的影响因素.413.4实物期权在煤矿安全投资中的应用.423.4.1煤炭安全投资引入实物期权的必要性.423.4.2煤矿安全投资实物期权的研究内容.433.4.3煤矿安全投资的柔性决策过程.433.5基于实物期权的煤矿安全投资项目价值的构成.453.5.1实物期权定价方法.453.5.2煤矿安全投资的实物期权定价模型.473.5.3煤矿安全投资价值的构成.493.6本章小结.524基于三叉树的煤矿安全投资实物期权价值模型.534.1离散型煤矿安全投资期权定价模型的选择.534.2模型的假设.534.3煤矿安全投资三叉树期权模型的构建.544.3.1模型的推导.544.3.2模型的确立.564.4基于三叉树的煤矿安全投资期权价值计算步骤.614.5本章小结.625基于模糊实物期权的煤矿安全投资价值模型.635.1连续型煤矿安全投资期权定价模型的选择.635.2煤矿安全投资模糊实物期权的构建.635.2.1模糊数的基本理论.635.2.2模糊数的基本运算法则.655.2.3模糊实物期权定价模型的构建.655.3本章小结.706煤矿安全投资实物期权定价模型参数预测.716.1连续型定价模型与离散型定价模型的异同.716.1.1相同性.716.1.2差异性.716.2模型参数预测.726.2.1煤矿资产收益率及波动率预测.726.2.2煤炭价格预测.766.2.3煤矿安全投资项目收益率及其收益波动率的估算.826.2.4其他参数的预测.83II 目录6.3煤矿安全投资项目净现值分析.856.4本章小结.867实证分析.877.1案例分析.877.1.1某煤矿基本情况.877.1.2某煤矿安全投资改造项目基本情况.877.1.3某煤矿安全改造方案.897.2某煤矿安全投资项目价值分析.917.2.1某煤矿安全投资的净现值.917.2.2离散型模型与连续型模型共同参数的取值.967.2.3基于三叉树的煤矿安全投资价值分析.977.2.4基于模糊实物期权的煤矿安全投资价值分析.987.3敏感性分析.1017.3.1相关参数对煤矿安全投资价值的影响.1017.3.2不确定性因素的敏感性分析.1027.4模糊期权法、三叉树法与传统期权方法的比较.1047.4.1三叉树方法与二叉树方法的比较.1047.4.2模糊 B-S方法与传统 B-S方法的比较.1047.4.3三叉树方法与模糊 B-S方法的比较. 1057.5本章小结.1068结论与展望.1078.1所做的主要工作.1078.2研究结论.1078.3创新点.1088.4展望.109致谢.110附录.111参考文献.112III 主要符号表主要符号表符号含义cd投资项目看跌实物期权价值C投资项目总价值cu投资项目看涨实物期权价值三叉树模型中的上升因子三叉树模型中的下降因子概念模型中代表投资项目总价值udeNPVFROV概念模型中代表安全投资项目期权价值，与 cd和 cu意义相同概念模型中代表安全投资项目的净现值投资项目期权价值函数sNPVfic投资项目基准收益率KjKLm投资项目第 j年的投资成本投资项目在服务期末的残值煤炭资源的期望收益率，即煤炭收益率三叉树的步数Nzd煤炭价格连续复利年收益率MxjMyjN煤矿安全投资项目第 j年的显性收益煤矿安全投资项目第 j年的隐性收益投资项目服务年限，折旧年限三叉树模型的期数np风险中性概率q煤矿安全投资项目的获利机会，在金融期权中为红利收益率无风险利率r国债利率的均值，若作为无风险利率均值时与意义相同t时刻的利率rrtrtl煤炭资源收益波动率即煤炭价格波动率三叉树模型中未来现金流的现值初始点第 i期第 j个节点的标的资产价值安全投资项目投资机会的持续时间，执行期权的期限安全投资项目期权的到期时间S0SijTt1I 主要符号表(续)主要符号表符号v0vijX含义三叉树模型最终点执行期权的价值实物期权估价网格图上第 i期第 j个节点的值安全投资项目期权的执行价格煤炭价格的隐含波动率国债利率向均值靠拢的速度安全投资标的资产未来现金流的现值，与 sNPV意义相同煤炭价格Sat安全投资项目期权价值的预期收益率安全投资项目收益的波动率无风险利率均值标准正态分布的累积函数II 1绪论1绪论1.1选题的背景及研究意义1.1.1选题背景安全投资事关煤矿安全，是影响安全水平的重要因素之一。我国是一个煤炭产销大国，煤炭作为一次能源，在我国能源消费组成中的比重达 70%，产量占世界煤炭总产量的 36.5%1，煤炭产业是我国经济的重要组成部分。煤炭行业作为高危行业，安全问题是影响煤炭企业发展的主要问题之一。近年来，随着社会的文明进步、经济的繁荣昌盛、科技的空前发展，人类生存和生活的理念发生了深刻的变化，社会大众对安全的需求和追求不断提高，我国政府和煤炭企业也为煤矿安全投入了较大的人力、物力和财力，采