Study On The Method Of Mining Rights On Option

Evaluating mining rights scientifically and rationally is a key and precondition of acquiring and transferring mining rights. At present, the main method of evaluating mining rights is the method of income present value(IPV).In practice the application of evaluation method of income present value, management flexibility is not considered, this causes the value of mining rights is underestimated. It is quite essential to set up new methods which could avoid the IPV's defect. Based on the theory of options developed by Black,Scholes and Merton, research the theory of option pricing to evaluate mining rights. The creative work is as follow: (1)setting up a basic model of evaluating mining rights based on the option A investment portfolio, consisting of mineral product,mining rights and riskless interest rates, has been structured and a basic model of evaluating mining rights based on the option has been set up. The model has been tested and verified in a specific case to show that the value of the mining rights evaluated by this model is larger than that by the IPV. (2) setting up a stochastic volatility model of evaluating mining rights based on the option A stochastic volatility functions has been structured and a stochastic volatility model of evaluating mining rights based on the option has been set up. The model has been tested using the same case to prove that it can make further improvement on the evaluation. (3)setting up a model of evaluating mining rights based on jump diffusion interest rates and price in the spot A changing process(jump diffusion) of the price and interest rates has been structured with the linear combination of Brown and Poisson process, which could reflect not only the process continuous process of the price and interest rates, but also the jump of the price and interest rates. Using data of the price of coal and interest rate to verify that this linear combination matches the market, according to it's characteristic. Then ,a model of evaluating mining rights based on jump diffusion interest rates and price in the spot has been set up. (4)setting up a model of evaluating mining rights based on stochastic price in an non-ideal market Based on the theory of actuarial approach, a model of evaluating mining rights based on stochastic price in a non-ideal market had been set up. This model can be applied to all kinds of markets, including ideal market and non-ideal market. In a word, the thesis provides four kinds of evaluating mining rights based on the option.