CAJ | 학술논문

在运用实物期权方法评估油气项目价值时，油价是影响项目灵活性价值最重要的因素。为了更合理的估计油价的波动率等描述油价随机特征的参数，本文运用复杂网络方法分析了国际油价时间序列，并提出了剔除跳跃过程，调整时间序列的方法。经过验证，调整方法合理，调整后的时间序列符合真实世界随机序列的波动特征。运用调整后的序列估计随机特征参数并应用于实物期权估值模型，剔除了油价冲击的影响，使估值结果更可靠。
재운용실물기권방법평고유기항목개치시，유개시영향항목령활성개치최중요적인소。위료경합리적고계유개적파동솔등묘술유개수궤특정적삼수，본문운용복잡망락방법분석료국제유개시간서렬，병제출료척제도약과정，조정시간서렬적방법。경과험증，조정방법합리，조정후적시간서렬부합진실세계수궤서렬적파동특정。운용조정후적서렬고계수궤특정삼수병응용우실물기권고치모형，척제료유개충격적영향，사고치결과경가고。
Oil price is the most important factor which influence the flexibility value in the real options evaluation. In order to get more reasonable parameters from thc oil price time series, this paper analyzes the international oil price time series by complex network method and proposes a method to adjust the time series. The adjusting method is proved to be reasonable. This paper estimates stochastic parameters by the adjusted sc quence . which is applied to real option valuation model. The influence of oil price shock is eliminated by this method, which makes the real options estimation results more reliable.