随机利率下的PPP项目实物期权评价研究  

Real Option Evaluation in PPP Projects under Uncertainty of Interest Rate

作　　者：刘继才[1] 高若兰 谢锐锋 LIU Ji-cai1 , GAO Ruo-lan1, XIE Rui-feng1,2(1. School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China; 2. PowerChina RoadBridge Group Co., Ltd., Beijing 100048, Chin)

机构地区：[1]西南交通大学经济管理学院,四川成都610031 [2]中电建路桥集团有限公司,北京100048

出　　处：《运筹与管理》2018年第7期170-176,共7页Operations Research and Management Science

基　　金：国家自然科学基金(面上)项目(71571149);国家自然科学基金(青年基金)项目(70901065);教育部新世纪优秀人才支持计划项目(NCET-10-0703);四川省科技厅软科学研究项目(2013ZR0045)

摘　　要：PPP项目通常实施周期长,风险突出。传统的实物期权评价方法考虑了未来的不确定性和管理者柔性的价值,但是一般假设无风险利率是固定的,不符合利率长期内波动的特点,会造成投资者决策失误。本文考虑了未来无风险利率波动条件下,PPP项目中实物期权的价值。首先分析了PPP项目中通常存在的期权形式,其次研究了无风险利率三角逆变函数以及在此基础上得出模拟实物期权模型,并用案例对比分析固定利率和随机利率下的期权价值。结果显示,随机利率比固定利率下的期权价值更高,研究结论可以为PPP项目的投资者进行决策提供重要依据。Due to the long concession period of PPP projects, there are many risks. The traditional real option evaluation takes into account the value of future uncertainty and flexibility of managers, where it is generally assumed that the risk-free rate is fixed. However, it fluctuates in a long term, and the ignorance of the fluctuation will lead to policy mistakes made by investors. The value of real option in PPP projects is evaluated considering the volatility of risk-free rate in future. This paper analyzes the options in PPP projects first. Then risk-free rate delta inverter function is studied, on this basis of which we get the model of real option through simulation. Using case analysis the research compares the differences of real option value at fixed interest rate and stochastic interest rate. The results illustrate that the value of the options under stochastic interest rate is greater than that of the options under the fixed interest rate. The contribution of this research is to provide scientific basis for investors of PPP projects to make decisions.

关 键 词：PPP项目 实物期权 随机利率 B-S模型 蒙特卡洛模拟 

分 类 号：F282[经济管理—国民经济]