Valuation of Timber Harvesting Options Using a Contingent Claims Approach
运用或有债权实物期权理论，分析加拿大安大略省木材价格的结构性突变与跳跃，发现忽略这些特征会导致次优投资决策，并建议修订林业中的固定轮伐期政策。
The contingent-claims-based real options theory is used to value timber harvesting options in Ontario, Canada. Monthly prices from 1981 to 2006 are used for analysis, and different statistical tests, including structural breaks, are used to test the stationarity of prices. The tests show the presence of structural breaks and jumps in the price series. The price series is stationary after incorporating the structural breaks, and therefore a mean reversion with jumps process, and not geometric Brownian motion, is used to characterize the prices. The presence of structural breaks requires partitioning of the series into three subperiods. Results indicate that ignoring the structural breaks and jumps will lead to suboptimal investment decisions. Results also imply the need to revise even-volume harvesting and fixed rotation age policies in forestry for economically efficient decisions. <i></i>