Two-factor Model of Valuating Mining Right of Coal Resources Under Stochastic Convenience Yield

摘要：

In China, it is a natural necessity to acquire and transfer the mining right of coal resources (for short MRCR) at some price in improvement of socialist market economy. Evaluating MRCR scientifically and effectively is a key and precondition of acquiring and transferring it MRCR has the same characteristics as option, which is a multi-period call option exercised annually. The convenience yield affects the value of MRCR because it influences the flexibility of the multi-period call option. The constant convenience yield cant reflect the value change of MRCR. Assuming the convenience yield follows a meanreverting process, a two-factor model of valuating MRCR had been set up under the conditions of stochastic convenience yield and stochastic coal spot price in reference. But above model couldnt derive analytical solution. This paper set up the two-factor model of valuating MRCR under stochastic convenience yield based on martingale pricing theory, derives analytical solution, and then verifies the model through a real example.

关键词： Coal resources Convenience yield Mining right Two-factor model

作者: Shao-hui ZOU Jin-suo ZHANG

作者单位: School of Management,Xian University of Science and Technology,Xian,P.R.China,710054

会议类型: 国际会议

会议名称: The 2nd International Conference on Vale Engineering and Vale Management(2009)(2009年北京价值工程与价值管理国际会议)

会议地点: 北京

会议语种:英文

页码: 649-654

在线出版日期: 2009-10-16（万方平台首次上网日期，不代表论文的发表时间）