基于实物期权法的海域使用权定价研究

doi:10.18402/resci.2016.05.06

摘要/Abstract

摘要：

海域使用投资往往具有较强的不确定性、不可逆性和可延迟性特点,使得海域使用权具有期权时间价值;但中国当前基于贴现现金流的海域使用权定价方法,没有考虑这些特点及其产生的期权时间价值,导致使用权定价偏低。为此,文章将实物期权法应用于海域使用权定价,以期确定更加合理的海域使用权价格,实现海洋经济可持续发展。以2013年青岛市黄岛区琅琊镇围堰养殖海参项目海域使用权价格为例,实物期权法的定价为95.89万元/hm²,相同条件下,贴现现金流法的定价为87.94万元/hm²,贴现现金流法的定价低7.95万元/hm²。而且,由于没有达到实物期权法确定的投资临界值,2013年并不适合投资;此时若投资,海域使用权价格将比达到投资临界值时低99.60万元/hm²,会极大降低海域资源利用效率。此外,参数敏感性分析表明,实物期权法下,海域使用权价格对市场环境变化很敏感,而贴现现金流法不能体现市场环境变化的影响。研究成果可为制定我国海域使用权定价政策提供参考和借鉴。

关键词: 海域使用权, 定价, 实物期权法, 期权时间价值

Abstract:

Investments in the use of sea areas are usually uncertain,irreversible and can be delayed to a large extent,thus giving an options time value to the right to use sea areas. However,the present valuation methods based on discounted cash flow often undervalue the right to use sea areas because they do not consider the above situation and options time value. To value the right to use sea areas more reasonably and maintain sustainable development of the marine economy,a real options approach was applied to the valuation of the right to use sea areas. We used sea cucumber acauculture in Langya,Qingdao City as a focal example and found that the price of the right to use sea areas is 958.9 thousand CNY per hectare according to the real options approach in 2013. Other things being equal,discount cash flow method undervalues the right by 79.5 thousand CNY per hectare than the real options approach. Investment was not optimal in 2013 because the project value was lower than the critical value and results in a price of 996 thousand CNY per hectare lower than that of the critical value,thus reducing the utilization efficiency of maritime space resources. Parameter sensitivity analysis indicates the price of the right to use sea areas is very sensitive to changes in market conditions;nevertheless,the discount cash flow method cannot reflect the influence of those changes. These results provide a reference for policy-making around the valuation of the right to use sea areas in China.

Key words: right to use sea areas, valuation, real options approach, time value of options

闻德美, 姜旭朝, 孟科学. 基于实物期权法的海域使用权定价研究[J]. 资源科学, 2016, 38(5): 858-870.

WEN Demei,JIANG Xuzhao,MENG Kexue. Valuation of the right to use sea areas based on the real options approach[J]. Resources Science, 2016, 38(5): 858-870.

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海域使用权定价变量和参数	股票看涨期权定价变量和参数
投资项目价值	股票市场价格
项目价值波动率	股票价格波动率
项目投资成本	执行价格
海域使用权有效期	距离到期日的时间
风险调整贴现率	无风险利率
价值漏损率	股息率

年份	2005	2006	2007	2008	2009	2010	2011	2012	2013	均值	方差
百分比变化率	0.33	0.13	0.11	0.20	0.33	0.06	0.06	0.00	0.11	0.15	0.12
对数变化率	0.29	0.12	0.11	0.18	0.29	0.06	0.06	0.00	0.11	0.13	0.10

年份	2002	2003	2004	2005	2006	2007	2008	2009	2010	2011	2012	2013	均值	方差
百分比变化率	0.22	0.09	0.00	0.20	0.00	0.32	-0.33	0.33	0.06	0.03	-0.22	-0.24	0.04	0.21
对数变化率	0.20	0.09	0.00	0.18	0.00	0.28	-0.39	0.28	0.06	0.03	-0.24	-0.28	0.02	0.22

年份	好当家	獐子岛	东方海洋	壹桥苗业
2013	-0.23	-0.05	-0.16	-0.14
2012	-0.20	-0.35	-0.15	0.48
2011	-0.36	-0.13	-0.30	-0.23
2010	0.47	1.30	0.37	-
2009	0.87	1.44	1.38	-
2008	-0.68	-0.67	-0.42	-
2007	2.30	0.30	0.69	-
2006	2.13	-	-	-
2005	-0.06	-	-	-
均值	0.47	0.26	0.20	0.04
标准差	1.09	0.81	0.65	0.39

贴现率ρ和波动率σ	2013年海域使用权价格				投资临界比				临界值对应的海域使用权价格
	价值漏损率δ				价值漏损率δ				价值漏损率δ
	0.05	0.08	0.10	0.15	0.05	0.08	0.10	0.15	0.05	0.08	0.10	0.15
ρ=0.2,σ=0.05	95.29	88.04	87.94	87.94	4.03	2.53	2.02	1.36	188.23	94.69	63.59	22.62
ρ=0.2,σ=0.10	95.81	88.20	87.94	87.94	4.13	2.60	2.10	1.44	194.36	99.39	67.99	27.43
ρ=0.2,σ=0.15	96.64	88.57	87.94	87.94	4.29	2.72	2.21	1.55	204.37	106.88	74.83	33.87
ρ=0.2,σ=0.20	97.75	89.22	87.94	87.94	4.51	2.88	2.35	1.67	218.06	116.84	83.67	41.37
ρ=0.2,σ=0.25	99.09	90.15	88.03	87.94	4.79	3.08	2.52	1.80	235.19	128.99	94.22	49.74
ρ=0.317,σ=0.05	105.57	95.02	90.72	87.94	6.37	3.98	3.19	2.13	333.22	185.14	135.79	70.06
ρ=0.317,σ=0.10	105.89	95.35	91.00	87.94	6.46	4.05	3.24	2.18	338.72	188.99	139.15	72.92
ρ=0.317,σ=0.15	106.39	95.89	91.48	87.94	6.61	4.15	3.33	2.25	347.84	195.49	144.64	77.47
ρ=0.317,σ=0.20	107.07	96.62	92.13	87.94	6.81	4.29	3.45	2.35	360.48	204.07	152.14	83.51
ρ=0.317,σ=0.25	107.91	97.52	92.96	87.96	7.07	4.47	3.60	2.46	376.56	215.08	161.51	90.85
ρ=0.4,σ=0.05	110.70	100.15	95.20	88.43	8.03	5.02	4.02	2.68	436.17	249.44	187.20	104.25
ρ=0.4,σ=0.10	110.93	100.41	95.46	88.56	8.11	5.08	4.07	2.72	441.47	253.06	190.28	106.70
ρ=0.4,σ=0.15	111.30	100.84	95.89	88.80	8.26	5.17	4.15	2.78	450.28	259.04	195.37	110.69
ρ=0.4,σ=0.20	111.81	101.42	96.48	89.17	8.45	5.31	4.26	2.87	462.55	267.34	202.39	116.12
ρ=0.4,σ=0.25	112.43	102.14	97.21	89.67	8.71	5.48	4.40	2.98	478.21	277.88	211.26	122.88