The coal mining right was regarded as a multi-stage compounding call option, whose value which was the function of coal resource value.  Convenience yield is of great economic value to explain the connection between coal future price and spot price.  The connotation of convenience yield was analyzed.  A calculation model was built and its variation and influence factors were tested to discover mechanism of the influence of convenience yield on coal mining rights value.  The sensitivity of the model was analyzed through an example.