本文選題：甘肅省地鐵項目 + 投資決策�。� 參考：《西南石油大學》2017年碩士論文

【摘要】：隨著甘肅地區(qū)經(jīng)濟的快速發(fā)展,省內(nèi)主干城市的機動車保有量日益劇增,而城市居民的出行需求量也日益增加;同時由于甘肅省"東西狹長"的獨特地域限制,日益嚴重的交通擁堵問題也降低了省內(nèi)主干城市居民的出行效率。地鐵作為城市軌道交通表現(xiàn)形式之一,以其自身運量大、速度快等獨特的優(yōu)勢,成為甘肅省各主干城市緩解交通壓力的有效途徑。但是,由于地鐵項目具有建造成本高、投資巨大、投資回收期長,以及不可逆性等投資特點,同時考慮甘肅省特殊的地理環(huán)境、社會環(huán)境、人文環(huán)境及建設條件等因素,如何科學準確地評估項目價值從而對地鐵項目進行投資決策,成為目前甘肅省內(nèi)主干城市地鐵項目建設亟待解決的問題。本文采用貝葉斯-期權博弈的方法來解決甘肅省內(nèi)主干城市地鐵項目的投資決策問題,首先,采用實物期權中常用的Black-Scholes定價模型綜合考慮項目凈現(xiàn)值和實物期權價值來更準確評估蘭州地鐵項目的價值,然后針對Black-Scholes定價模型的在波動率隨機性問題上的不足,基于貝葉斯定理充分利用所有已知信息,綜合考慮參數(shù)的先驗和后驗信息的優(yōu)勢,將Black-Scholes定價模型中的波動率看成是隨機變量來研究,得到區(qū)別頻率學派利用歷史數(shù)據(jù)確定的歷史波動率(常量),即貝葉斯波動率(分布函數(shù))。從而構建貝葉斯-期權博弈模型,以更合理地評估甘肅省主干城市地鐵項目的項目價值,并對甘肅省地鐵項目中政府與投資方的特許權期決策進行了數(shù)值模擬分析。最后,通過對甘肅省蘭州市某地鐵項目的貝葉斯-期權模型分析,驗證了該項目投資決策的可行性和有效性。
[Abstract]:With the rapid economic development of Gansu Province, the number of motor vehicles in the main cities in the province is increasing rapidly, and the travel demand of urban residents is also increasing. At the same time, due to the unique geographical constraints of the "east-west" region of Gansu Province, The increasingly serious problem of traffic congestion also reduces the travel efficiency of the main urban residents in the province. As one of the forms of urban rail transit, subway has become an effective way to relieve traffic pressure in every trunk city of Gansu province, because of its unique advantages such as large volume and fast speed. However, due to the high construction cost, huge investment, long payback period and irreversibility of the subway project, the special geographical environment, social environment, humanistic environment and construction conditions of Gansu Province are taken into account at the same time. How to evaluate the project value scientifically and accurately so as to make investment decision on the subway project has become an urgent problem to be solved in the subway project construction of the main city in Gansu province. In this paper, the Bayesian option game method is used to solve the problem of investment decision of subway projects in the main cities of Gansu Province. The Black-Scholes pricing model, which is commonly used in real options, is used to consider the net present value and real option value to evaluate the value of Lanzhou metro project more accurately, and then to solve the problem of volatility randomness of Black-Scholes pricing model. Based on Bayesian theorem, the volatility in Black-Scholes pricing model is considered as a random variable by taking advantage of all known information and considering the advantages of prior and posterior information of parameters. The historical volatility (constant), namely Bayesian volatility (distribution function), is obtained by using historical data. Thus the Bayesian option game model is constructed to evaluate the project value of the main urban subway project in Gansu Province more reasonably and the decision of concession period between the government and the investors in the subway project in Gansu Province is simulated and analyzed numerically. Finally, by analyzing the Bayesian option model of a subway project in Lanzhou City, Gansu Province, the feasibility and effectiveness of the investment decision of the project are verified.
【學位授予單位】：西南石油大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F572.88;F224.32

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