本文關(guān)鍵詞： PPP項(xiàng)目 實(shí)物期權(quán) B-S定價(jià)模型 二叉樹定價(jià)模型 蒙特卡洛模擬　出處：《西南交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：PPP項(xiàng)目具有投資額巨大、項(xiàng)目周期長(zhǎng)、參與方眾多等特點(diǎn),因此在整個(gè)項(xiàng)目生命周期內(nèi)都存在諸多的風(fēng)險(xiǎn),如何對(duì)這些風(fēng)險(xiǎn)進(jìn)行分析并構(gòu)建合理的風(fēng)險(xiǎn)分擔(dān)體系將成為決定項(xiàng)目成功與否的關(guān)鍵。傳統(tǒng)的DCF評(píng)價(jià)方法因?yàn)槲茨軠?zhǔn)確評(píng)估風(fēng)險(xiǎn)的價(jià)值,常常會(huì)造成投資者錯(cuò)誤的決策,自從1977年Mayers提出實(shí)物期權(quán)理論以來(lái),越來(lái)越多投資者開始重視期權(quán)的價(jià)值,實(shí)物期權(quán)將實(shí)物資產(chǎn)價(jià)值引入金融世界進(jìn)行度量,考慮了未來(lái)的不確定性和管理者柔性的價(jià)值,使投資者對(duì)未來(lái)的不確定性有更直觀的認(rèn)識(shí),將能更好的指導(dǎo)投資者進(jìn)行決策。 傳統(tǒng)的實(shí)物期權(quán)評(píng)價(jià)方法一般假設(shè)利率是固定的,但長(zhǎng)期來(lái)看利率往往卻不是一成不變的,尤其是我國(guó)利率市場(chǎng)化發(fā)展迅速,傳統(tǒng)實(shí)物期權(quán)評(píng)價(jià)方法已不能適應(yīng)我國(guó)的金融環(huán)境。為了更好的指導(dǎo)我國(guó)投資者做出準(zhǔn)確的決策,本文研究了隨機(jī)利率下實(shí)物期權(quán)對(duì)PPP項(xiàng)日的評(píng)價(jià)。首先構(gòu)建了PPP項(xiàng)目的實(shí)物期權(quán)應(yīng)用框架體系并對(duì)PPP項(xiàng)目中存在的風(fēng)險(xiǎn)和期權(quán)進(jìn)行了識(shí)別和分析；然后分別用三角利率和CIR均衡利率模型對(duì)B-S模型和二叉樹模型進(jìn)行了改進(jìn),在選取各利率模型參數(shù)時(shí)以2007至2008年Shibor一年期利率每日?qǐng)?bào)價(jià)為樣本進(jìn)行了統(tǒng)計(jì)分析,并根據(jù)統(tǒng)計(jì)結(jié)果對(duì)無(wú)風(fēng)險(xiǎn)利率模型的參數(shù)進(jìn)行了估計(jì)；最后用蒙特卡洛模擬法對(duì)某污水處理廠項(xiàng)目中存在的擔(dān)保期權(quán)和放棄期權(quán)的價(jià)值進(jìn)行了模擬,結(jié)果表明從投資方角度出發(fā)實(shí)物期權(quán)評(píng)價(jià)方法在隨機(jī)利率下將比固定利率下更能準(zhǔn)確評(píng)估項(xiàng)目的價(jià)值。 與假設(shè)利率固定不變的傳統(tǒng)實(shí)物期權(quán)評(píng)價(jià)方法相比隨機(jī)利率考慮了未來(lái)利率不確定性的價(jià)值,將利率風(fēng)險(xiǎn)的價(jià)值做出了量化分析。對(duì)于投資者來(lái)說(shuō)這部分價(jià)值可能引導(dǎo)其做出正確的決策,具有重要的實(shí)際指導(dǎo)意義；同時(shí)這一研究也豐富了PPP項(xiàng)目的實(shí)物期權(quán)評(píng)價(jià)理論,為隨機(jī)利率下實(shí)物期權(quán)評(píng)價(jià)研究提供了一種新思路,具有一定的理論指導(dǎo)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(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F283;F832.51

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