基于LSMC模型的煤炭资源价值定价研究

煤炭资源价值定价可以抽象为一种美式期权定价问题.最小二乘蒙特卡洛模拟(LSMC)方法是解决美式期权定价问题的一个有效途径.详尽地分析了Cortazar等人的基于资源价格、利率和便利收益随机变动的三因素定价模型,利用向量Ito定理提出了三因素模型中价格、利率和便利收益变量的递推公式.对LSMC方法原理进行了细致的阐述,总结出实现LSMC方法的完整过程,并在Matlab环境下编制了LSMC算法实现程序,进行算例计算.算例结果表明,LSMC方法用于资源定价是有效可靠的.研究为煤炭资源价值定价提供了一个完整具有可操作性的工具.

The Study About Value Pricing of Coal Resources Based on the LSMC Model

Value pricing of coal resources can be abstracted as an American option pricing problem.To solve the problem of American option pricing Least Square Monte Carlo simulation(LSMC) method is an effective way.In this paper,we detailed analysis of three factors pricing model of Cortazar and others based on randomized changes in resource prices,interest rates and convenience yield,and proposed a recursive formula about prices and interest rates and convenience yield variables of the three factor model by using the vector Ito'lemma.Also,we described in detail the principle of LSMC method and summed up the whole process of achieving LSMC methods.Meanwhile,an algorithm procedure of LSMC is developed under the Matlab's environment and a numerical example is calculated according to the algorithm.The example shows that LSMC method is effective and reliable for resource pricing.Our studies provide a complete and operable tool for the value pricing of coal resources.