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篇目详细内容 |
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【篇名】 |
Using jump-diffusion modeling for valuing real options in infrastructure projects |
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【刊名】 |
Frontiers of Computer Science in China |
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【刊名缩写】 |
Front. Comput. Sci. China |
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【ISSN】 |
1673-7350 |
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【EISSN】 |
1673-7466 |
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【DOI】 |
10.1007/s11704-010-0509-1 |
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【出版社】 |
Higher Education Press and Springer-Verlag Berlin
Heidelberg |
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【出版年】 |
2010 |
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【卷期】 |
4
卷2期 |
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【页码】 |
263-270
页,共
8
页 |
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【作者】 |
Guoxing ZHANG;
Ju’e GUO;
Guorong CHAI;
Li GONG;
Xuejun WANG;
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【关键词】 |
real option; jump-diffusion process; the minimum revenue guarantee |
【摘要】 |
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In infrastructure financed projects, in order to attract private investors, host governments often provide some guarantees. This paper develops a value model of minimum revenue guarantee with multiple-exercise real options under the impact of the emergency incident. The model is applied to infrastructure financed projects using the minimum revenue guarantee under simulation. The simulation results indicate that, before quantifying the value of the minimum revenue guarantee, it is necessary to forecast the jump degree and intensity of the emergency incident, as well as prevent and control risks arising from such emergencies. Otherwise, underestimation of the guarantee value will occur and the government will have to bear huge debt in this condition. We also analyze the dependence of the guaranteed value on the minimum guaranteed revenue level, initial revenue and number of exercise rights. For various conditions, the diagrams of the guaranteed value are also presented. |
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