随机利率下的PPP项目实物期权评价研究

发布时间：2018-01-27 04:34

本文关键词： PPP项目实物期权 B-S定价模型二叉树定价模型蒙特卡洛模拟　出处：《西南交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：PPP项目具有投资额巨大、项目周期长、参与方众多等特点,因此在整个项目生命周期内都存在诸多的风险,如何对这些风险进行分析并构建合理的风险分担体系将成为决定项目成功与否的关键。传统的DCF评价方法因为未能准确评估风险的价值,常常会造成投资者错误的决策,自从1977年Mayers提出实物期权理论以来,越来越多投资者开始重视期权的价值,实物期权将实物资产价值引入金融世界进行度量,考虑了未来的不确定性和管理者柔性的价值,使投资者对未来的不确定性有更直观的认识,将能更好的指导投资者进行决策。传统的实物期权评价方法一般假设利率是固定的,但长期来看利率往往却不是一成不变的,尤其是我国利率市场化发展迅速,传统实物期权评价方法已不能适应我国的金融环境。为了更好的指导我国投资者做出准确的决策,本文研究了随机利率下实物期权对PPP项日的评价。首先构建了PPP项目的实物期权应用框架体系并对PPP项目中存在的风险和期权进行了识别和分析；然后分别用三角利率和CIR均衡利率模型对B-S模型和二叉树模型进行了改进,在选取各利率模型参数时以2007至2008年Shibor一年期利率每日报价为样本进行了统计分析,并根据统计结果对无风险利率模型的参数进行了估计；最后用蒙特卡洛模拟法对某污水处理厂项目中存在的担保期权和放弃期权的价值进行了模拟,结果表明从投资方角度出发实物期权评价方法在随机利率下将比固定利率下更能准确评估项目的价值。与假设利率固定不变的传统实物期权评价方法相比随机利率考虑了未来利率不确定性的价值,将利率风险的价值做出了量化分析。对于投资者来说这部分价值可能引导其做出正确的决策,具有重要的实际指导意义；同时这一研究也丰富了PPP项目的实物期权评价理论,为随机利率下实物期权评价研究提供了一种新思路,具有一定的理论指导意义。
[Abstract]:PPP project has the characteristics of huge investment, long project cycle and numerous participants, so there are many risks in the whole project life cycle. How to analyze these risks and build a reasonable risk sharing system will be the key to determine the success of the project. Traditional DCF evaluation method because of the failure to accurately assess the value of risk. Since Mayers put forward the theory of real options in 1977, more and more investors have begun to attach importance to the value of options. Real option introduces the value of real assets into the financial world to measure, considering the uncertainty of the future and the flexible value of managers, so that investors have a more intuitive understanding of the uncertainty of the future. Will be able to better guide investors to make decisions. Traditional real option evaluation methods generally assume that interest rates are fixed, but in the long run interest rates are often not fixed, especially the rapid development of interest rate marketization in China. Traditional real option evaluation method can not adapt to the financial environment in China, in order to better guide our investors to make accurate decisions. In this paper, we study the evaluation of real options on PPP terms under stochastic interest rate. Firstly, we construct the application framework of real options in PPP projects and identify and analyze the risks and options in PPP projects. Then the B-S model and the binary tree model are improved by using the triangular interest rate model and the CIR equilibrium interest rate model respectively. When selecting the parameters of each interest rate model, the daily quotation of Shibor one-year interest rate from 2007 to 2008 is taken as a sample for statistical analysis. The parameters of the risk-free interest rate model are estimated according to the statistical results. Finally, Monte Carlo simulation method is used to simulate the value of guarantee option and abandonment option in a sewage treatment plant project. The results show that the evaluation method of real options from the perspective of investors can evaluate the value of the project more accurately at random interest rate than at fixed interest rate. Compared with the traditional real option evaluation method which assumes the fixed interest rate, the stochastic interest rate considers the value of the future interest rate uncertainty. Quantitative analysis of the value of interest rate risk. For investors, this part of the value may lead them to make the correct decision, which has important practical guiding significance; At the same time, this research enriches the real option evaluation theory of PPP project, and provides a new way for the research of real option evaluation under stochastic interest rate, which has a certain theoretical significance.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F283;F832.51

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