摘要
近年来,在石油勘探开发投资决策中,采用实物期权的方法进行评估取得了快速发展,但是随着国际油价的大幅走高,人民币汇率的坚挺,传统的B-S模型对实物期权的估价方法受到挑战。对多元伊藤过程进行研究,实现了期权估价的B-S模型的扩展,并且通过对开发勘探中随机变量的规范,引入国际油价和汇率两个变量,开发出一种新型的石油开发实物期权评价方法。
Recently, in the investment decision of petroleum exploration and development, adopting the real object option to evaluate required fast development. Along with the international oil price rising quickly and RMB exchange rate firming, the traditional B - S model is subjected to a challenge for real option. This paper studied the polybasic Ito process, realized the development of B - S model, and through the standardized random variable of petroleum exploration and development, brought in two variables of international oil price and exchange rate, developed a new method of real option on petroleum exploration and development.
出处
《统计与信息论坛》
CSSCI
2008年第4期81-83,共3页
Journal of Statistics and Information
