223.基于实物期权的基础设施项目融资中政府担保价值研究.pdfVIP

第 17卷 第 4期 运 筹 与 管 理 Vo.l 17, No. 4 2008年 8月 OPERAT IONS RESEARCH AND MANAGEMENT SCIENCE Aug. 2008 王 乐, 郭菊娥, 孙 艳 ( , 71004 ) : , , , : ; ; ; : F830. : A : 2008) Va lua tion of Gove rnment G uarantee in Infrastructu re F inanc ing w ith Rea lO ption Method WANG Le, GUO Jue, SUN Yan (S chool of M anag em en,t X ian J iao Tong Un iv ers ity, X ian 71004 , Ch ina) Ab stract: A ttracting nongovernment investors such as domestic and foreign finance consortiums, corporations, enterprises, and ind ividuals to invest in infrastructure projects in our country is an efficientw ay to solve the defi ciency of finance investmen.t This paper focuses on the value of governm ent guarantees in th is context, using ex tend ing multivariable OP method to solve the problem of valuation of guarantees. The paper tests the method through a real examp le in China, and put the resu ltsw ith the DCF solution together, and the example show s that the value of guarantees can indeed be sign ificantly relative to the basic net present value. The case study also highlights other aspects of flexib ility in the design and execution of a project. Key wo rds: computational finance; government guarantees; Monte Carlo smi u lation; nongovernment investors 0 , , : , , , , , , , , [ 1] , , , : : 国家自然科学基金资助项目( : 王乐 ( 1 7 ), 男, 新疆人, 博士生, 究方向: 资产定价; 郭菊娥( 1 61), 女, 教授, 博士生导师 第 4期 王 乐, 等: 基于实物期权的基础设施项目融资中政府担保价值 究 113 [ 2, 3] , , Lew isMody