【作者】 赵雪萍；

【导师】 田水承；

【作者基本信息】 西安科技大学 ， 安全技术及工程， 2014， 博士

【摘要】 安全投资是实现安全生产的重要因素之一，事关企业的安全管理水平。在煤矿安全生产中，煤矿安全投资是影响煤矿安全生产水平和经济效益的重要因素，如何科学合理地进行安全投资决策，使有限的投入取得尽可能高的安全标准和更好的经济效益，已成为煤矿企业迫切需要解决的安全经济管理问题。但是，传统的投资评价方法，不能更准确科学地衡量安全投资价值，影响了煤矿企业安全投资的积极性。因此，如何合理有效的评价煤矿安全投资价值已成为煤矿科学安全投资的关键。本文针对煤矿安全投资项目的特点，基于实物期权理论，对煤矿安全投资决策进行了研究，主要研究内容和成果如下：（1）基于煤矿安全投资的实物期权特性，研究了实物期权下的煤矿安全投资项目价值形成机理。在分析煤矿安全投资项目影响因素的基础上，明确了煤矿安全投资中引入实物期权的必要性，表明不确定条件下的煤矿安全投资是个动态的柔性管理过程，该过程中蕴含期权价值，提出煤矿安全投资项目价值由净现值和项目的期权价值两部分构成。（2）基于三叉树模型（又称三叉网格图），在无风险利率是常数情况下，推导建立了煤矿资产自身价值有收益率及煤矿安全投资项目有期权价值的煤矿安全投资的三叉树定价模型，并运用实例验证了该模型在标的资产价格运动为离散状态时，更能准确反映煤矿安全投资项目的价值。（3）基于B-S模型，将模糊数学理论与实物期权理论相结合，利用改进的三角模糊数来表述标的资产价格、执行价格、项目价值波动率及无风险利率等4个变量的不确定性，推导建立了煤矿安全投资的模糊B-S实物期权定价模型，并利用Microsoft VisualC++6.0编写计算程序得出模糊环境下的实物期权价值，解决安全投资项目的不确定性和模糊性问题。（4）对影响实物期权价值的标的资产价格、执行价格、项目价值波动率、无风险利率及到期时间等5个因素进行了敏感性分析。结果表明：在煤矿安全投资中，资产当前价格、波动率、无风险利率与安全投资项目价值为正相关，执行价格、到期时间与安全投资项目价值为负相关，其中影响最大的因素是当前资产价格，即当前资产价格是影响安全投资价值的关键因素。（5）对三叉树期权定价模型、模糊期权定价模型与传统期权定价模型进行比较分析，运用实例验证离散型三叉树模型与连续性模糊B-S模型的一致性和准确性。结果表明：两种模型既能使煤矿安全投资的潜在机会价值得到充分体现，又能反映净现值法估算的静态价值，体现了煤矿安全投资是一个动态的柔性管理过程。总之，本文开展基于实物期权理论的煤矿安全投资决策研究，能够为煤矿企业进行科学决策提供理论依据，具有重要的理论和实践意义。更多还原

【Abstract】 Coal mine safety investment is one of the important factors of coal mine safety inproduction and concerns the safety management level of enterprises. In the process of the coalmine production, coal mine safety investment is an important factor which influences the coalmine safety in production and economic benefit. How to make safety investment decisionsscientifically and reasonably to achieve the safety standards as high as possible and bettereconomic benefits with limited investment has become an urgent safety and economymanagement problem to be solved for coal mining enterprises. But the traditional investmentevaluation method cannot measure the value of safety investment more accurately andscientifically, which impacts the active safety investment of coal mine enterprises. Therefore,how to make the reasonable and effective evaluation of coal mine safety investment value hasbecome the key issue of coal mine safety science.Combining the characteristics of coal mine safety investment projects, and based on thereal options theory, this paper has studied the coal mine safety investment decision, the mainresearch contents and results are as follows:(1) Based on the real options characteristics of coal mine safety investment, this paperhas studied the mechanism of value formation of the coal mine safety investment projects.Based on analyzing the influencing factors of coal mine safety investment projects, this paperclarifies the necessity of the introduction of real options of coal mine safety investment. Thestudy shows that, under uncertain conditions, coal mine safety investment is a dynamicprocess of flexible management, and in this process，contains options value. Then the paperraises the issue, that the value of coal mine safety investment includes two parts, one is NetPresent Value, the other is option value of the project. (2) Based on the triple tree model (also called the triple grid chart), in the case thatrisk-free rate of interest is a constant, this paper has established triple tree pricing model ofcoal mine safety investment while coal mining assets value has yields and coal mine safetyinvestment projects have the option value. And a successful example is used to verifythe model can reflect the value of the coal mine safety investment projects more accurately,while the model is in the asset price move to discrete state.(3) Base on the B-S model, and combining the fuzzy mathematics theory and realoptions theory, it uses the improved triangular fuzzy number to describe the four variablessuch as underlying asset price volatility, executive price, the volatility of the project value andrisk-free interest rate, establishes B-S fuzzy real options pricing model of the coal mine safetyinvestment, and solves the problems of the uncertainty and fuzziness of safety investmentprojects, by using Microsoft Visual C++6.0program to obtain the fuzzy real optionvalue under the fuzzy environment.(4) The five factors of asset price volatility, executive price, project value, risk-freeinterest rate and expiration time, which affects the real option value, has been analyzedsensitively. It is concluded that in the coal mine safety investment, assets of the current price,volatility, the risk-free interest rate and safety investment project value are positive correlated.Executive price, expiration time and safety investment project value are negative correlated.The current price is the most important factor. It means that the current asset price is the keyfactor influencing the safety investment value.(5) In this paper, the triple tree options pricing model, the fuzzy option pricing modeland the traditional option pricing model have been comparatively analyzed, and a successfulexample is used to verify the consistency and accuracy of the discrete trigeminal tree modeland continuity of fuzzy B-S model. Results show that the two models can not only make thepotential opportunity of coal mine safety investment value is fully reflected, but also reflectthe static value by the net present value method, which reflects the coal mine safetyinvestment is a dynamic process of flexible management.All in all, this paper carries out researches of coal mine safety investmentdecision-making based on the real option theory, it can provide theory basis for the coalmining enterprises to carry out scientific decision-making, and it has an important theoreticaland practical significance.更多还原