BOT项目实物期权评价方法研究综述

31320109大连理工大学学报(社会科学版)JournalofDalianUniversityofTechnology(SocialSciences)Vol.31,No.3Sept.2010BOT刘宁,戴大双,吴海西(,116024):文章通过对国内外BOT项目实物期权评价方法文献的系统回顾与分析,总结了传统评价方法的特征与不足,分析了实物期权方法的优势,重点评述了BOT项目的扩展期权推迟期权和收益保障的看跌期权等单一实物期权评价方法,以及收益保障的看跌期权分别同扩展期权放弃期权组成复合实物期权评价方法,总结两类期权的特点及存在的问题,提出了未来研究的方向与建议:BOT;;;:F224.5:A:1008407X(2010)03003406ReviewonRealOptionforBOTProjectsLIUNing,DAIDashuang,WUHaixi(SchoolofManagement,DalianUniversityofTechnology,Dalian116024,China)Abstract:ThroughsystematicalreviewandanalysisofrelevantliteraturesonrealoptionmethodsforBOT(buildoperatetransfer)projects,thispapersummarizesthecharacteristicsanddeficienciesofthetraditionalevaluationmethodology,andanalysestheadvantagesofrealoptionmethods.ItfocusesonthereviewofthesinglerealoptionsforBOTprojectsincludingputsoptionofrevenueassurance,expansionoptionandabandonmentoption,andthecompoundrealoptionscomposedofputsoptionofrevenueassurance,expansionoptionandabandonmentoptionseparately.Andfurtherthepapersummarizestheircharacteristicsandflawsrespectively.Finally,thedirectionsandsuggestionsarepresentedforfuturestudyontherealoptionforBOTprojects.Keywords:BOT;realoption;compoundrealoptions;evaluationmethod:20091027:(70702033):(1976),,,,BOT;(1951),,,,,;(1976),,,,BOTBOT(builoperatetransfer),,,,,,[1][2],[3],(),,,,BOT,,,,BOT,BOT,,,,,,BOT,,,,BOT,,1.,BOT,:(1),;(2),,,,;(3),,,,,(),[4]BOT,,[5]2.:;[6],[7][8]Myers,[9],,1:1,,[10]:(1),,;(2);(3),,[11][12]:,[13][14]BOTBOT1.BOTBOT,,BOT,BOT,BOT,,[15]:(1)BOT,,353刘宁,戴大双,吴海西:BOT项目实物期权评价方法研究综述,E;(2)BOT,qqdq=c,I=pfqdq;(3)Cm=KC-1BOT:E=PE++1-PE-1+r-C1(1),E+E-,PTc,,:maxTcTTcpfqdq-Cn-Cmdt(2)s.t.Tc0pfqdq-Cn-Cmdt-C1+E!Tc,:maxcTc0pfqdq-Cn-Cmdt-C1+E(3):(1);(2);(3),BS,,,,[16],BOT,,BOT[17],2.BOT,BOT,,,[5][18]:FV=maxTEVt-Ce-T-t(4),C;T;,,V=C,;,V=V*,2:2,,BOT,BOT,BOT,[19]3.BOT,BOT[3],ChiaraGarvinVecer,,,BOTTPG(),t=0,TPGM,3:3TPG,∀X=maxK-X,0,!t,Xtt,disct=1t=1,NBOT36大连理工大学学报(社会科学版)31CheahLiu,,(DCF),#[3]i(CFia)(CFip),,,4:4,(SD):SD=∃30i=4SFi1+Rfi(5),,,,,,,,,,HoLiu,BOT,5[14]:5,67,,67(8)8,A,BBOT,8,BOTB-SB-SBOT373刘宁,戴大双,吴海西:BOT项目实物期权评价方法研究综述,,,BOTBOT1.YuanWang,B-S,,BOT,(VT)(V0)(Vt)-(ARMA)B-S∀2VT=V0+Vt=0,V0,0.76/,0.9/,1.6/,,2.HuangChouBOT,[13],R,I,,,f:f=I0N-k2-P0N-k1(6)k1=lnP0/I0+∀2/2tB/∀tBk2=k1-∀tBI0,P0,∀2R,N()Q=∃mi=1QtiQtnR,M,0=MtnN-d2-RtnN-d1d1=lnR0tn/M0tn+∀2/2tn/∀tnd2=d1-∀tn,R0tnRtn,M0tnMtn,MtnFM,:FM=∃mi=1Fti(7)FtnR,D,0=R0tnBa1tn,b1tn;tB/tn-M0tnBa2tn,b2tn;tB/tn-D0tn-M0tnNa2tna1tn=lnR0tn/R*0tn+∀2/2tB/∀tBa2tn=a1tn-∀tBb1tn=lnR0tn/M0tn+∀2/2tB/∀tnb2tn=b1tn-∀tn,B,*,BOT,,,,3.YangDai,BOT,,VTj=maxUTj,DTjVop1Tj+Vop2Tj+Vop3Tjs.t.:PTj%!PTj%PTjCTj!ATj+!ITj%ITjVop1Tj,Vop2Tj,Vop3Tj,,,,,,BOTBOT,,,,,BOT38大连理工大学学报(社会科学版)31,,,BOT(1),BOT,,BOT(2)BOT,,(),,,BOT(3),,,,,,:[1]MASONSP,BALDWINCY.Evaluationofgovernmentsubsidiestolargescaleenergyprojects[J].AdvancesinFuturesandOptionsResearch,1988,3(3):169181.[2]WANGL,YANGND,GUOX.OptimaltimingoftheentryandreconstructionfortheBOTprojectbasedonrealoptiontheory[A].FENGY,OSAKIH.ICIM2006:ProceedingsoftheEighthInternationalConferenceonIndustrialManagement[C].Beijing:ChinaAviationIndustryPress,2006.572577,1193.[3]CHEAHCYJ,LIUJ.Valuinggovernmentalsupportininfrastructureprojectsasrealoptionsusingmontecarlosimulation[J].ConstructionManagementandEconomics,2006,24(5):545554.[4],,.BOT[J].(),2006,27(2):1418.[5],,.BOT[J].,2007,27(7):7375.[6],,.Eva[J].(),2004,25(2):4750.[7]MERTONRC.Theoryofrationaloptionpricing[J].TheBellJournalofEconomicsandManagementScience,1973,4(1):141183.[8]ELIZONDOR,PADILLAP.Ananalyticalapproachtomerton&srationaloptionpricingtheory[J].AnalysisandApplications,2008,6(2):169182.[9]MYERSSC.Determinantsofcorporateborrowing[J].JournalofFinancialEconomics,1977,5(2):147175.[10]DIXITKV,PINDYCKRS.Theoptionapproachtocapitalinvestmen[J].HarvardBusinessReview,1995,73(3):105114.[11]GARVINMJ.Realoptionsanalysis:canitimproveinfrastructuredevelopmentdecisions[A].TOMMELINID.ConstructionResearchCongress2005:BroadeningPerspectivesProceedingsoftheCongress[C].SanDiego,CA,Unitedstates:AmericanSocietyofCivilEngineers,2005.10031014.[12],.[J].(),2007,28(2):5054.[13]HUANGYL,CHOUSP.ValuationoftheminimumrevenueguaranteeandtheoptiontoabandoninBOTinfrastructureprojects[J].ConstructionManagementandEconomics,2006,24(4):379389.[14]HOSP,LIULY.Anoptionpricingbasedmodelforevaluatingthefinancialviabilityofprivatizedinfrastructureprojects[J].ConstructionManagementandEconomics,2002,20(2):143156.[15],,.BOT[J].,2007,17(6):8185.[16],.BOT[J].(),2008,29(3):112115.[17].BOT[J].,2007,5(10):5860.[18],,.BOT[J].,2007,10(6):8790.[19].BOT[A].,.2007InternationalConferenceonConcessionPublic/InfrastructuralProjects(ICCPIP)[C].:,2007.7176.393刘宁,戴大双,吴海西:BOT项目实物期权评价方法研究综述