油气勘探开发投资项目风险因素分析及实物期权评价研究

【作者】 李海军；

【导师】 刘先涛； 王建敏；

【作者基本信息】 西南石油学院 ， 管理科学与工程， 2005， 硕士

【摘要】 我国油气勘探开发风险投资行业同发达国家相比仍然处于起步阶段,尽管在理论上对风险投资宏观运行机制的研究比较多,但对投资中的风险分析与实践研究还比较欠缺。评估手段上的滞后,极大地阻碍了我国油气勘探开发风险投资事业的发展。因此,寻找适合我国国情和经济运行条件的油气勘探开发风险投资决策评价方法具有重要的理论价值和现实意义。期权定价理论作为20世纪金融学最伟大的理论发现之一,其原理、方法和结论可以广泛地应用于宏微观经济和管理问题的分析与决策。其中,期权定价理论应用于投资决策领域时,就演变成了实物期权理论。它是期权定价理论的最新发展之一,不仅大大丰富了期权理论的内涵,而且为石油天然气行业企业提供了全新的分析思路和分析方法。 论文尝试把实物期权理论方法引入油气勘探开发风险投资管理的决策评价之中,根据风险投资项目的高风险、高收益性的特点,首先本文在探讨企业风险管理的本质及理论的基础上,完成了对油气投资行业风险的理论分析,阐明了油气投资行业风险管理的意义,并就有其投资行业风险管理的目标、模式及机构人员配置进行了研究。 其次,对油气勘探开发风险投资行业中的各种风险因素进行了分类分析。针对石油行业的非常特殊特点,阐述了风险识别的目的、意义及识别原则,着重对不同的风险因素识别方法进行分析,给出风险识别过程中的注意事项。再次,根据油气勘探开发投资行业的特殊性,对现有的油气勘探开发投资评价方法进行分析比较,指出传统方法的弊端与不足之处,提出运用实物期权方法对其净现值法修正的必要性和可行性。 最后,针对原油价格波动性较大的特点,应用基于维纳过程的蒙特卡洛随机模拟法对原油价格进行预测,在此基础上建立油气勘探开发实物期权评价模型。这是本文的重点,也是本文的难点。本文通过与传统方法的比较分析进一步明确了实物期权理论在我国油气勘探开发风险投资决策的适用性和可行性。在此基础上,就油气勘探开发中各种风险因素的防范对策进行系统研究。论文的研究工作将有助于改进我国石油行业风险投资决策评价手段和评价方法,完善油气勘探开发风险投资项目投资规范和方法体系,从而使油气投资项目管理者能够较为准确地评价风险投资项目的价值,提高风险投资决策的效率、降低风险,促进我国石油风险投资行业的迅速发展。更多还原

【Abstract】 In comparison with developed countries, venture capital of oil exploration and development is still in the primary stage. Many scholars have studied the theories on its aero-operating mechanism while few have done research on its appraisal method. The lagging of appraisal method has delayed the development of oil exploration and development venture capital. Therefore it is of great significance to find an appropriate investment appraisal method under China’s current economic situation. Option pricing theory is one of the greatest discoveries in finance in the last century. Its principle, method and conclusion can be applied in many economic and management fields. When option-pricing theory is applied in financial budgeting, it is calbed real options theory, which opens an entirely new way to investment appraisal petroleum enterprise.First, the paper attempted to introduce venture management theory to oil exploration and development. On the basis of characteristic of venture investment such as high profit with high risks, the risk theory of oil investment was analyzed and the aim, mode, scheme of risk management was studied. Secondly, as very special characteristic in oil investment, not only all kinds of risk factors were analyzed respectively, but also, such as aim, significance, principles of risk distinguishing were expounded. The process of analysis talked chiefly to differ method, and given out some advertent matter to manager compound real options model was build to appraise the investment decision of venture capital. Thirdly, through comparing of appraisal traditional method in special oil industry, it pointed out shortage. Furthermore, it is necessary and feasible to using real option to amend NPV. Finally, in allusion to fluctuate obvious of oil price, the paper applied Monte Carlo Simulation Analysis which be based on Wiener process to forecast oil price, then founded appraisal model of real option.The paper analyzed appraisal model through comparing traditional method, as well as problems of real options theory in oil exploration and development. Be faced with different risk factors, countermeasure was systemically studied. The work of the paper will help to improve the investment method and tools of China’s oil venture capital and build a more scientific system to complement venture capital appraisal. Thus oil venture capital Company will evaluate the value and risks of their projects in a more precise way so that their investment efficiency of venture capital will be improved and the oil venture capital industry will come to prosperity.更多还原