The three-factor model of evaluating mining rights of coal resources based on options

• 来源期刊: 煤炭学报（英文版）
• 年，卷（期）: 2008,（3）
• 页码范围: 507-511
• 页数: 5页
• 语种: 英文

摘要

Since mining rights of coal resources(for short MRCR) could be regarded as amulti-stage compound real option, the evaluation for MRCR can be better solved using op-tion theory than the NPV. In the former research, we developed a two-factor model ofevaluating MRCR when the coal spot price and convenience yield are stochastic based onoption theory. On the basis of this two-factor model, we set up a three-factor model ofevaluating MRCR when the interest rate followed a stochastic process. Through a realexample application, we found the model can get higher values than the two-factor modeland the NPV. This is because considering the volatility of interest rate can improve theexecutive opportunity of MRCR.