本文關(guān)鍵詞： PPP項目 實物期權(quán) B-S定價模型 二叉樹定價模型 蒙特卡洛模擬　出處：《西南交通大學》2013年碩士論文　論文類型：學位論文

【摘要】：PPP項目具有投資額巨大、項目周期長、參與方眾多等特點,因此在整個項目生命周期內(nèi)都存在諸多的風險,如何對這些風險進行分析并構(gòu)建合理的風險分擔體系將成為決定項目成功與否的關(guān)鍵。傳統(tǒng)的DCF評價方法因為未能準確評估風險的價值,常常會造成投資者錯誤的決策,自從1977年Mayers提出實物期權(quán)理論以來,越來越多投資者開始重視期權(quán)的價值,實物期權(quán)將實物資產(chǎn)價值引入金融世界進行度量,考慮了未來的不確定性和管理者柔性的價值,使投資者對未來的不確定性有更直觀的認識,將能更好的指導投資者進行決策。 傳統(tǒng)的實物期權(quán)評價方法一般假設利率是固定的,但長期來看利率往往卻不是一成不變的,尤其是我國利率市場化發(fā)展迅速,傳統(tǒng)實物期權(quán)評價方法已不能適應我國的金融環(huán)境。為了更好的指導我國投資者做出準確的決策,本文研究了隨機利率下實物期權(quán)對PPP項日的評價。首先構(gòu)建了PPP項目的實物期權(quán)應用框架體系并對PPP項目中存在的風險和期權(quán)進行了識別和分析；然后分別用三角利率和CIR均衡利率模型對B-S模型和二叉樹模型進行了改進,在選取各利率模型參數(shù)時以2007至2008年Shibor一年期利率每日報價為樣本進行了統(tǒng)計分析,并根據(jù)統(tǒng)計結(jié)果對無風險利率模型的參數(shù)進行了估計；最后用蒙特卡洛模擬法對某污水處理廠項目中存在的擔保期權(quán)和放棄期權(quán)的價值進行了模擬,結(jié)果表明從投資方角度出發(fā)實物期權(quán)評價方法在隨機利率下將比固定利率下更能準確評估項目的價值。 與假設利率固定不變的傳統(tǒng)實物期權(quán)評價方法相比隨機利率考慮了未來利率不確定性的價值,將利率風險的價值做出了量化分析。對于投資者來說這部分價值可能引導其做出正確的決策,具有重要的實際指導意義；同時這一研究也豐富了PPP項目的實物期權(quán)評價理論,為隨機利率下實物期權(quán)評價研究提供了一種新思路,具有一定的理論指導意義。
[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.
【學位授予單位】：西南交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F283;F832.51

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