The coal mining rights could be regarded as a multi-stage compounding call option, the stochastic variation of coal price and convenience yield as well as interest rate will directly affect the value of the coal mining rights. Based on option theory, a three-factor model for evaluating the coal mining rights is set up when the interest rate and convenience yield follow mean-reverting process and the coal price follows jump-diffusion process. The result through the instance shows that the model can better reflect rights and interests of the coal resource owner than DCF, one-factor model and two-factor model. As approaching of the coal mining rights maturity, the information about the interest rate, the convenience yield, the mining cost and coal price will be becoming more and more transparent, the influence of these factors’ fluctuation on the coal mining rights will be gradually decreased.
张金锁, 邹绍辉. 基于跳跃-扩散过程的煤炭资源采矿权估价三因素模型[J]. J4, 2008, 5(5): 637-.
ZHANG Jin-Suo, ZOU Shao-Hui. Three-factor Model for Evaluating Coal Resource Mining Rights Based on Jump-Diffusion Process. J4, 2008, 5(5): 637-.