Research On The Method Of Mineral Investment Decision Based On Option

The traditional investment methods, such as net present value method (NPV) have been occupied the central position in project investment decision. But with the development of market economy in our country, enterprises are faced with increasing uncertainties. NPV often neglects the flexibility value of investment projects, underestimates the total value of project, and may be lead to the errors of project investment decision. Based on the related research status in domestic and aboard, the model of project investment decision based on the basis of the option is studied systematically by analyzing the disadvantage of the traditional investment methods. The main work and research results are as follow:(1) On the assumption that the asset value conforms to the geometry Brown movement and other conditions, an investment portfolio, consisting of the asset value、the option of project investment, has been structured and a basic model of project investment decision based on option has been set up.(2) On the basis of basic model, this thesis suppose that interest rates conforms to the geometry Brown movement and the changing pattern of mine price conforms to the linear combination of Brown and Poisson process, which could reflect not only the process continuous process of the price but also the jump of the price. An investment portfolio, consisting of the asset value、the option of project investment and riskless bond, has been structured and a stochastic interest rates with a jump diffusion price model of project investment decision based on option has been set up. (3) Setting up a model of evaluating mining rights based on jump diffusion interest rates and price in the spotA 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. Then,a model of evaluating mining rights based on jump diffusion interest rates and price in the spot has been set up.