基于现代资产定价理论的矿业权估价理论与方法研究

Being guided by market economics theory, modern financial theory and financial mathematics, this research program systematically presents valuation theory of mineral property based on modern asset pricing theory. The main workflow of the program is as follows:The program discusses the fundamental basis for the valuation of mineral properties and the factors affecting mineral property value. On the condition of market economics, mineral resource has value; its amount is decided by its marginal utility and scarcity. The mineral property value is the profit from minig，which is equal to mining rent' capitiliaing. The conditions of optimal depletion rate of mineral resources are derived. The principal of valuing mineral properties is concluded, the mineral taxes and government policy are discussed, valuing parameters are analyzed, and by using the theory of marginal utility, a method for choosing the economic cutoff grade is constructed..Discounted cash flow (DCF) technique based on capital asset pricing model and/or arbitrage pricing theory for the valuation of mineral properties are systematically provided. Based on a general type of DCF, three special types of DCF models are originally provided. They are year's capital DCF, expected profit and surplus DCF. The first two are used for valuating mineral properties in operating stages, the last one at detailed exploration stage. Surplus cash flow and discounted are discussed. And three methods for appropriate discounted rate are given. One is statistic method by using share market data, one is a risk premium method based on capital asset pricing model and arbitrage pricing theory, one is a method of weighted average cost of capital..Uncertainty is an important feature of mineral price, which is determined competitively and assumed to follow a stochastic process. Using Markov process of mineral price to simulate mineral property valuation is suggested. An example that using the models of the stochastic behavior of mineral prices which are geometric Brownian motion and/or mean-reverting progress instead of flat-price shows mineral price volatility has a great effect on mineral property valuation. This example is calibrated using data from recently opened jiangxi copper sulfur mine. .This program extend financial modern asset pricing theory by developing a methodology for the valuation of mineral properties. Following the option pricing process, a fictive portfolio consisting of long position in value of mine and a short position in futures contracts is constructed. To avoid risk-less arbitrage opportunities, it must be equal to risk-less return on the investment, which led to a partial differential equation (PDE) with appropriate boundary conditions. The mineral property value must satisfy this PDF which can solved either explicitly or numerically to give the value of a complete mine. At the same way, a fictive portfolio consisting of long position in the mine, a short position in futures contracts and in forward construction contracts is developed, it led anther PDF which must be satisfied by the value of a detailed exploration mine..

矿产资源属性，矿产资源价值形成机理，矿业权估价系统分析（包括估价原则、矿业税收制度、影响因素、评估参数、边际品位等），基于资本资产定价模型和随机模拟技术的矿业权估价模型、基于现代资产定价理论的矿业权估价模型，安全案例分析，比较研究。发展和完善矿业权估价理论方法，满足矿产资源资产管理、矿业税收政策制定和矿产资源产权交易需要。