摘要
针对矿产品价格具有高度波动性的特点,本文运用实物期权理论,建立了露天矿边际品位最优化的新方法。该模型的优点是在当前做出边际品位决策时,就把未来矿产品价格波动及那时可能的品位决策的预期考虑进去了。其优化结果是,在当前价格上升时,既可能要提高边际品位,也有可能要降低边际品位,还有可能保持不变,这取决于价格波动的形式和矿山的剩余服务年限。这种结果与现有模型的优化结果有很大的不同,它更深入地刻画了边际品位的经济学特性,将更有助于提高矿山的运营效益。
Considering the high volatility of mineral prices, this paper has proposed a new method for the optimization of open-pit cutoff grade by applying option pricing theory. The advantage of the new method is that the decision-making of current cutoff grade takes into account the possible changes of future price and the corresponding cutoff grade decisions at that time. The optimization results of such method shows that when the current price goes up, it is likely that we should raise the cutoff grade, or lower the cutoff grade, or even keep it unchanged. All these decisions are depending on the behavior of price changes and the residual mine life. This kind of results is very different from the optimization by existing models, and undoubtedly it reflects deeper economic characteristics of cutoff grade and is beneficial to improving a operating mine＇s economic efficiency.
出处
《中国矿业》
北大核心
2007年第10期92-94,共3页
China Mining Magazine
关键词
边际品位
期权定价
露天矿
cutoff grade
option pricing
open-pit mine
