Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options
Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options
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DOI：
10.1061/(asce)co.1943-7862.0000447
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发表时间：
2012-04
期刊：
影响因子：
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通讯作者：
B. Ashuri;H. Kashani;K. Molenaar;S. Lee;Jian Lu
中科院分区：
文献类型：
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作者：
B. Ashuri;H. Kashani;K. Molenaar;S. Lee;Jian Lu
建设-运营-移交（BOT）是一种公私合作（PPP）项目交付体系，用于世界各地公路项目的融资、开发和运营。未来交通需求的不确定性是BOT项目运营阶段最重要的风险因素之一。大量证据表明，对这种不确定性的不适当考虑导致了BOT项目的财务失败。传统经济分析方法的固有局限性助长了这种不确定性，最明显的是在BOT项目经济估价中通常使用的净现值法。此外，净现值法不足以确定最低收入保证期权的正确市场价值。政府向特许公司提供MRG选项，作为BOT项目的收入风险分担战略。作者应用金融/决策科学中的真实的期权理论对MRG期权进行了明确定价。
AbstractBuild-operate-transfer (BOT) is a public-private partnership (PPP) project delivery system for the financing, development, and operations of highway projects around the world. Uncertainty about future traffic demands is one of the most important risk factors in the operations phase of a BOT project. There is a considerable amount of evidence indicating that the improper consideration of this uncertainty contributes to the financial failure of BOT projects. The inherent limitation of conventional economic analysis methods contributes to this uncertainty; most notably the net present value (NPV) approach that is typically used in the economic valuation of BOT projects. In addition, the NPV approach is insufficient to determine the correct market value of minimum revenue guarantee (MRG) options. The government offers MRG options to the concessionaire as a revenue risk-sharing strategy in BOT projects. The authors apply the real options theory from finance/decision science to explicitly price MRG opti...