Establishment and application of a real option model for evaluation of petroleum exploration project

doi:10.7623/syxb200706031

Editorial office of ACTA PETROLEI SINICA ›› 2007, Vol. 28 ›› Issue (6): 147-150.DOI: 10.7623/syxb200706031

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Establishment and application of a real option model for evaluation of petroleum exploration project

Luo Dongkun¹, Wang Hua²

1. School of Business Administration, China University of Petroleum, Beijing 102249, China;
2. China National Oil and Gas Exploration and Development Corporation, Beijing 100034, China

Received:2006-10-06 Revised:2006-11-15 Online:2007-11-25 Published:2013-07-10

石油勘探投资实物期权评价模型的建立及应用

罗东坤¹, 汪华²

1. 中国石油大学工商管理学院, 北京, 102249;
2. 中国石油天然气勘探开发公司, 北京, 100034

作者简介:罗东坤,男,1957年3月生,1998年获石油大学博士学位,现为中国石油大学(北京)教授,博士生导师,主要从事油气资源经济评价和项目管理的教学和研究工作.E-mail:ldkun@sina.com
基金资助:
国家“九五”重点科技攻关项目“塔里木盆地油气资源经济评价”(99-111-01-04)资助。

Abstract

Abstract: The real option traits of a petroleum exploration project，oil price movement model and the influence of technical and economic parameters on the value of an exploration project were analyzed. A multistage real option model for evaluating a petroleum exploration project was established using riskneutral expectation arithmetic operator and norisk discount rate. The flexibility value of the investment stage by stage in an exploration project was evaluated rationally with this model. The influences of uncertainty parameters on the value of a petroleum exploration project were discussed by applying the model. The probability of the model was verified through practice.

Key words: petroleum exploration, investment decision, economic evaluation, real option, evaluation model

摘要： 详细分析了石油勘探所具有的实物期权特性、原油价格波动模型以及储层参数和经济因素不确定性对勘探项目价值的影响。根据勘探项目多阶段投资的特性,利用风险中性期望算子和无风险贴现率建立了石油勘探投资多阶段实物期权评价模型,提供了评估勘探项目阶段性投资管理弹性价值的方法,并通过实例验证了该方法的可操作性。

关键词: 石油勘探, 投资决策, 经济评价, 实物期权, 评价模型

CLC Number:

TE-92

Luo Dongkun, Wang Hua. Establishment and application of a real option model for evaluation of petroleum exploration project [J]. Editorial office of ACTA PETROLEI SINICA, 2007, 28(6): 147-150.

罗东坤, 汪华. 石油勘探投资实物期权评价模型的建立及应用[J]. 石油学报, 2007, 28(6): 147-150.

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Establishment and application of a real option model for evaluation of petroleum exploration project

石油勘探投资实物期权评价模型的建立及应用

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