| Copper resources play an important role in the national economy and national defense construction. However, the distribution of copper resources is uneven, and the per capita share is low. Especially, the growth of production and consumption of copper products is rapid in China in recent years, but the production can not meet consumption, and the dependence on imports of copper raw materials is very high, which has seriously hampered our copper products development of manufacturing industry. To protect our copper products manufacturing sustainable development, we need to reduce the foreign dependence on copper raw materials. At the same time, Copper companies need to strengthen their management; and the government should improve our mineral resources tax policy system, and establish a scientific and rational evaluation of mineral resources and effective method which could promote the rational development and utilization of copper resources. However, the practice has showed that there is a big problem of China’s current tax policy in adjusting the income gap, rational exploitation of mineral resources, protecting the environment and so on. Discounted cash flow method and income from equity method as the current primary methods in mineral resource assessment of mining rights, which ignore the management "flexibility" in copper resources exploiting and producting process, and they tend to underestimate the actual value of the copper resources of mining rights. Enterprises obtain copper mining rights with a very low price, that seriously damages the national interests of the owner as copper resources, and which leads copper companies "pick fat reduction thin" in the exploiting process, resulting in a waste of resources, environmental damage and other issues. Therefore, to establish a scientific and rational assessment of mining rights in copper resources is important. There is a big uncertainty in the producting copper resources process. Managers or investors can prevail the conditions to choose following strategies,such as delaying investment in the construction, expansion of production scale, shrinking the scale of production, stopping production temporarily and abandoning production in exploiting and producting process, which has a great "flexibility", and this "flexibility" can bring value to the enterprise overflow. Real options mining rights is essentially a financial call option. Individuals or units can decide whether to copper mining according to actual situation after obtaining the mining rights copper resources, such as construction, expanding or reducing the scale of production. Thus, the real option can fully assess management "flexibility" in copper resource extraction process. In this paper, the author did some research on evaluating the value of copper resources mining right based on real options, and the main contents include:First, the derivation and analysis of the assessment of the value of the mining rights copper resources based on real options theory basic model. Based on risk-neutral theory, the author derived the basic financial option pricing model. On this basis, I obtain the basic real options pricing model of mining rights copper resource. Factors affecting the value of the mining rights copper resources include:Copper asset value of the resource, the resource asset value volatility of copper, copper mining investment opportunity cost of resources, the period of mining rights from the expiry date, risk-free rate.Second, analyze the change model of copper price. In this article,the author select Yangtze River Nonferrous Metals Market copper spot price of copper price movements to study the model. First, make unit root test on Yangtze River Nonferrous Metals Market copper spot price series, then use Monte Carlo simulation method for copper prices following a geometric Brownian motion and pure mean reversion model changes, and testing found that the geometric Brownian motion more in line with changes in copper prices.Third, establish a copper resources mining right valuation model based on stochastic interest. The basic real options pricing model of mining rights copper resource assumes that the risk-free interest rate were fixed, which does not comply with the actual situation, so considering on stochastic interest rates which affect the value of mining rights is necessary. This paper argues that the interbank market interest rates are superior in testability, controllability, relevance and sensitivity, comparing to other sub-market interest rates. The interbank market interest rates can be China’s current benchmark interest rate. Thus, select interbank market interest rate as risk-free rate to research the model of rate movements. On this basis, establish copper resources mining right valuation model under the interest rate obey Rendleman and Bartter model.Fourth, study the changes in volatility models and copper resources mining right valuation model under stochastic volatility. The suppose on a constant rate of copper price volatility in copper mining rights valuation resource base model,is clearly not consistent with the actual situation, that the actual copper price fluctuations would be affected by various factors change. In this paper, the authot estimated and tested ARCH (5), GARCH (1,1), GARCH (2,1), GARCH (1,2), TARCH (1,1), TARCH (2,1), TARCH (1,2), EARCH (1,1) EARCH (2,1) and EARCH (1,2), and found that ARCH (5), GARCH (1,1), TARCH (1,1), EARCH (1,1) and EARCH (2,1) are better able to estimate changes in volatility. This paper selects the most widely used GARCH (1,1) model as the model changes in the volatility of copper resources to estimate the value of the mining rights. Because copper mining rights valuation model under the pricing volatility GARCH model is so difficult to establish. So in this paper, the author use a modified approach to estimate the volatility of copper mining rights, namely bringing the calculation of volatility under GARCH(1,1) into the basic model to assess the value of the mining rights. |
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