基于跳跃-扩散过程的基础设施融资项目政府担保价值研究  

Infrastructure Financing Project Government Guarantee Value Research Based on Jump-diffusion Process

作　　者：张国兴[1,2] 郭菊娥[1] 赵强兵[1] 

机构地区：[1]西安交通大学管理学院,陕西西安710049 [2]兰州交通大学土木工程学院,甘肃兰州730070

出　　处：《预测》2009年第1期60-64,共5页Forecasting

基　　金：国家自然科学基金资助项目(70473072)

摘　　要：基础设施融资项目投资额巨大、投资回收期长,在运营过程中易受到突发事件的影响,不可避免地对政府担保下的项目价值产生冲击,进而对政府担保价值产生影响。在前人研究的基础上本文尝试引入泊松分布刻画突发事件对政府担保价值的影响,构建了基于跳跃—扩散过程的基础设施融资项目政府担保定价模型。数值分析表明政府担保价值随着跳跃度、突发事件平均到来率这两个泊松运动控制变量的增大而增大,当跳跃度或突发事件平均到来率为零时政府担保变为标准看跌期权,因此,本文是对原有政府担保定价研究的进一步拓展。The huge investment and long paybaek period is a common characteristic for infrastructure project. Among infrastructure operation period, many exigencies have an important effect to its value and government guarantee value. Basing on a lot of scholars ignore asset value jumping among their government guarantee value researehes, this paper introduces poisson-jump distributing for option pricing theory, and eonstruets infrastructure financing project government guarantee value model based on jump-diffusion process. By numerical analysis way, this paper debates that the exigencies has a great effeet on government guarantee value. The conclusion is an extendible researeh for the former papers.

关 键 词：跳跃—扩散过程 政府担保价值 实物期权 

分 类 号：F832[经济管理—金融学]