The Development of Applied Real Options Approaches for the Valuation of Mining Projects

矿业项目估值应用实物期权方法的发展

• 批准号: RGPIN-2017-06627
• 负责人: Lawryshyn, Yuri
• 金额: $ 1.53万
• 依托单位: University of Toronto
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2018
• 资助国家: 加拿大
• 起止时间: 2018-01-01 至 2019-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=656851
• 关键词: Development; Applied; Real; Options; Approaches

Real option analysis (ROA) is recognized as a superior method to quantify the value of real-world investment opportunities where managerial flexibility can influence their worth, as compared to standard discounted cash-flow methods typically used in industry. A comprehensive ROA of an oil, gas or mineral mining project can improve the allocation of capital and managerial decision making and the methodology is currently used, to some degree, in the commodity extraction sectors. However, realistic models that try to account for a number of risk factors can be mathematically complex, and in situations where many future outcomes are possible, many layers of analysis may be required. Typically, managers are usually unable to understand the models and dismiss results that seem unintuitive to them. A recent empirical study showed that roughly 35% more value can be extracted from mining operations if managers had made better timing and capacity decisions.******The focus of this proposal is the development of an “intelligent” real options valuation (IROV) methodology geared towards practical use with specific emphasis on mining finance. The overall objective of the proposed research is to develop a methodology and tool that allows managers and engineers to apply ROA in complex, real world settings in the context of the valuation of mining projects. The methodology will be based on sound financial principles utilizing ROA, and will account for both systematic risks associated with economic factors, as well as idiosyncratic risks associated with mining, such as size of deposit and ease (cost) of extraction. While the methodology must account for real world complexities, it must be general and broadly applicable. Finally, the methodology must be such that its fundamentals are easily understood by managers and engineers so that its use is readily adopted.******A key innovation of the model being proposed is the idea of fitting optimal decision making boundaries to optimize the expected value, based on simulated stochastic processes that represent important uncertain factors associated with the mine. Ultimately, the model will consist of hyper-planes that can be used by managers to decide when to build, expand, mothball or abandon. Two approaches to determine these boundaries are proposed: 1) utilizing standard curve fitting and optimization techniques, and 2) utilizing machine learning where an algorithm is utilized to optimize managerial decision making, in the same way as algorithms are utilized to challenge opponents in games such as chess. To the best of my knowledge, the methodology proposed here has not been presented and may provide a key aspect in the practical implementation of ROA. From a training perspective, the research is multi-disciplinary and will provide trainees the opportunity to learn aspects of financial modelling, mining, data analysis, optimization and machine learning.**

与工业中通常使用的标准贴现现金流方法相比，实物期权分析 (ROA) 被认为是量化现实世界投资机会价值的优越方法，其中管理灵活性可以影响其价值。 、天然气或矿物开采项目可以改善资本分配和管理决策，该方法目前在某种程度上用于商品开采领域。然而，尝试考虑许多风险因素的现实模型可以在数学上进行。复杂，并且在许多未来结果都不确定的情况下通常，管理者通常无法理解模型并忽略对他们来说似乎不直观的结果，最近的一项实证研究表明，如果管理者能够从采矿作业中提取大约 35% 的价值。更好的时机和容量决策。******该提案的重点是开发一种面向实际应用的“智能”实物期权估值（IROV）方法，特别强调矿业金融拟议研究的总体目标。是开发一种方法和工具，使管理者和该方法将基于利用 ROA 的合理财务原则，并考虑与经济因素相关的系统风险以及相关的特殊风险。虽然该方法必须考虑到现实世界的复杂性，但它必须具有普遍性和广泛适用性。最后，该方法必须易于管理者和管理者理解。工程师使其易于使用采用。******所提出的模型的一个关键创新是基于代表与矿山相关的重要不确定因素的模拟随机过程来拟合最佳决策边界以优化期望值的想法。该模型将由超平面组成，管理者可以使用这些超平面来决定何时构建、扩展、封存或放弃，提出了两种确定这些边界的方法：1）利用标准曲线拟合和优化技术，2）利用机器。学习在哪里使用算法来优化管理决策，同时据我所知，这里提出的方法尚未提出，但从训练的角度来看，该方法可能为 ROA 的实际实施提供一个关键方面。多学科，将为学员提供学习金融建模、挖掘、数据分析、优化和机器学习等方面的机会。**