基于油价随机过程的国际石油合同模式经济性分析

doi:10.7623/syxb201203026

石油学报 ›› 2012, Vol. 33 ›› Issue (3): 513-518.DOI: 10.7623/syxb201203026

基于油价随机过程的国际石油合同模式经济性分析

汪东进 1,2　李秀生 1　刘明明 3　王　震 3

1中国石油大学石油工程学院　北京　102249；　2中国石油天然气集团公司　北京　100007；　3中国石油大学工商管理学院　北京　102249

收稿日期:2012-02-20 修回日期:2012-03-20 出版日期:2012-05-25 发布日期:2012-07-20
通讯作者: 汪东进
作者简介:汪东进，男，1962年7月生，1982年毕业于华东石油学院，现为中国石油大学（北京）石油工程管理专业在读博士研究生、中国石油天然气集团公司教授级高工，主要从事跨国石油投资与管理相关的研究工作。
基金资助:
教育部哲学社会科学研究重大课题攻关项目“中国与全球油气资源重点区域合作研究”（09JZD0038）资助。

A simulation analysis on international petroleum contracts based on the stochastic process of oil price

WANG Dongjin 1,2　LI Xiusheng 1　LIU Mingming 3　WANG Zhen 3

Received:2012-02-20 Revised:2012-03-20 Online:2012-05-25 Published:2012-07-20

摘要/Abstract

摘要：

以国际石油合作的代表性模式之一矿税制合同为例，以油价服从几何布朗运动（GBM）和均值回复过程（MRP）为基础，通过对影响合同经济性的两个关键因素矿区使用费和所得税的不同情景假设，对合同模式的经济性进行了研究。结果表明，在油价不确定的条件下，相对于矿区使用费而言，所得税对项目价值的影响更加显著；当预期油价波动率较小时，均值回复过程要比几何布朗运动的模拟效果更好一些。该研究结果为国际石油投标、谈判和决策提供了一种新的分析视角和方法。

关键词: 油价, 矿税制, 随机过程, 概率分布, 石油合同

Abstract:

Taking the Royalty/Tax System contract as an example, which is one of the representatives for international petroleum contracts, we investigated key influential factors in evaluating contract modes under two different scenarios either with the royalty or with the income tax by assuming that the oil price follows the stochastic process of the Geometric Brownian Motion (GBM) or Mean-Reverting Process (MRP). The result shows that the impact of income tax is more influential to the value of a project than that of the royalty under conditions of an uncertain oil price, while the MRP can have a better effect compared with the GBM on conditions of a lower fluctuating rate. The present study provides a novel analytical perspective and approach for the bidding, negotiation and decision making in international petroleum business.

Key words: oil price, Royalty/Tax System, stochastic process, probability distribution, oil contract

汪东进　李秀生　刘明明　王　震. 基于油价随机过程的国际石油合同模式经济性分析[J]. 石油学报, 2012, 33(3): 513-518.

WANG Dongjin　LI Xiusheng　LIU Mingming　WANG Zhen. A simulation analysis on international petroleum contracts based on the stochastic process of oil price[J]. Editorial office of ACTA PETROLEI SINICA, 2012, 33(3): 513-518.

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基于油价随机过程的国际石油合同模式经济性分析

A simulation analysis on international petroleum contracts based on the stochastic process of oil price

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