Study On Valuating Methods Of Coal Resource Mining Right Based On Options

It is a natural necessity to acquire and transfer coal resources mininng rights at some price in improvement of socialist market economy. Evaluating coal resources mining rights scientifically and effectively is a key and precondition of acquireing and transfering. The current coal resources mining rights evaluation method, centered on DCF, ignores"operational flexibility"in the process of developing coal resources, and undervalues coal resources mining rights so that it can not full embody the owners'rights and benefits. More serious consequence is that it fosters coal enterprises'extravagant development. Therefore it's urgent to set up a coal mining rights evaluating method which can consider and deal with"operation flexibility". Option evaluation theories set up by Black, Scholes and Merton in early 1970s lays a theoretical foundation to the evaluation of"operation flexibility". This thesis applies it to the study of coal resources mining rights evaluation method and achieved some fruits as follows:(1) Reveal the value formation mechanism of coal resources mining rights based on optionsThe current coal resources mining rights evaluation method of coal resources mining rights based on option avoids the research on the mechanism of price formation. This thesis discover that coal resources mining rights has the same characteristics as option, which is a multi-periods call option exercised annually. For its underlying assert is coal resources reserve, coal resources mining rights is actually a real option. To evaluate coal resources mining rights is to determine the value of the real option. The factors to affect the value of coal resources mining rights are the price of coal resource, the full cost of coal mining, the value of coal reserve, the opportunity cost of coal mine investment, the holding term of coal mining rights, the fluctuating rate of coal reserve value, risk-free rate, and convenience yield. Moreover, the formation path of coal mining rights depends on the changing process of coal reserve price(2) Set up a two-factor model of coal resources mining rights evaluation when interest rate and convenience yield respectively follow stochastic movement.The current mining rights evaluation method based on option assumes risk-free rate to be constant, which does not fit in practical circumstances. This thsis put forward that using HJM process to structure mining rights evaluation model can accord with practical circumstances of Chinese capital market and the long holding term of coal mining rights. Based on this, set up the two-factor model of coal resources mining rights evaluation based on HJM process. Define the connotation of convenience yield and its influence on coal mining rights value and through analysis conclude that the convenience yield of coal spot also belongs to the convenience yield of coal resource reserve. Based on this, set up the two-factor model of coal resources mining rights evaluation when convenience yield follows mean-reverting process.(3) Set up respectively three-factor models of coal mining rights evaluation when coal price, interest rate and convenience yield follow stochastic process.Through the research on a real example, discover that in normal ciercumstances GBM can better fit the changing process of coal resource reserve price. Based on this, set up three-factor models of coal mining rights evaluation when coal price follows GBM, interest rate is the process of HJM and convenience yield follows mean-reverting process. If there are a lot of abrupt events, jump-diffusion process can better fit the changing tendency of coal price. Based on this, set up three-factor models when coal price follows jump-diffusion process, interest rate is the process of HJM and convenience yield follows mean-reverting process.(4) Put forward some suggestions on resource developing taxes.The current policy of coal resource tax and resource compensation fee fortsers coal enterprises'extravagant development and is also the root of causing the problems coal resource development. Put the emphasis of policies on resource instead of products so as to make the price of coal mining rights fully embodies the rights and interests of the resource owner. Theses are the directions of reforming the policies of coal resource developing tax. On this basis, put forward the suggestions such as making the evaluation method based on option become the main method to evaluate coal mining rights, collecting only premium instead of resource tax, building Chinese coal future market and the sharing mechanism of coal resource mining rights price and so on.Such researches gives support on methods to the evaluation of coal resource mining rights and repayable selling, and provide the decision basis for the formulation of the policy of Chinese coal resource developing tax.