BOT水电项目的放弃期权定价  

Abandonment Option in BOT Hydropower Projects

作　　者：孙洁[1] 简迎辉[1] 

机构地区：[1]河海大学商学院,江苏南京211100

出　　处：《土木工程与管理学报》2016年第3期118-121,共4页Journal of Civil Engineering and Management

摘　　要：将实物期权运用于项目定价已经成为一种常见并且实用有效的方法。一般情况下,不同项目所具有的特点会导致项目包含不同种类的期权。由于水电项目中存在的不确定因素多且风险较大,在运用BOT模式对项目进行融资时项目本身可能包含放弃期权,放弃期权可以有效地降低投资风险。因此在对项目进行定价的同时需要对放弃期权的价值进行估算,并通过特定的模型和算法确定在何种阶段投资者需要提前行使放弃期权停止对项目的投资以降低投资者损失。为满足上述要求,本文利用放弃期权所具有的美式期权特征将最小二乘蒙特卡洛法(LSM)应用到BOT水电项目的实物期权价值计算中,结合算法构建适当的模型,最后辅以案例进行演算说明,以期为BOT项目定价过程提供有效参考与指导。Applying the real option pricing into the project has become a common practical and effective method. Usually the characteristics of deferent projects will lead the projects contain deferent types of options. Because of the uncertainty and higher risk existed in the hydropower projects,it may contain abandonment option when financing. Therefore estimating the value of the option is needed when do project pricing. And investors need to determine in advance what stage to stop investing,which can cut loss of the investor. To meet these requirements,we will apply LSM to the real options calculating of BOT hydropower project and supplement a case in order to provide an effective reference and direction for the BOT project pricing process.

关 键 词：BOT模式 放弃期权 最小二乘蒙特卡洛 

分 类 号：F282[经济管理—国民经济]