【作者】 薛静娴；

【导师】 刘延平；

【作者基本信息】 北京交通大学 ， 技术经济及管理， 2010， 硕士

【摘要】 经营性基础设施建设是我国经济和社会发展的重要组成部分,城市与社会的长期发展需要得到基础设施协调发展作为保障的。中国经济的高速发展也进一步扩大了其对基础设施的需求,然而政府的财政收入是有限制的,基础设施建设的发展不可能完全依靠政府的投资。于是政府开始对经营性基础设施建放开限制,允许有实力的民营资本投入到被征服垄断的基础设施建设中。在这个尝试的过程中,基础设施建设项目价值的确定是项目双方最关注的问题,也是研究过程中最需要解决的问题。如何吸引民营资本以及如何来进行有效投资决策以使投入的资本达到最佳的效果,提供一份应有的真实可行的可行性研究分析是相当有必要的。概括来说,经营性基础设施项目具有不可逆性、回报不确定性以及时机选择性等特征。传统的净现值方法的基本假设与项目建设与运营过程的实际情况不相符,忽略了投资决策中这些基本特征的存在。我们有必要将实物期权的定价方法引入到经营性基础设施建设项目的投资决策中去。由于实物期权理论在企业投资决策方面的应用已相当普遍,在基础设施建设项目投资决策方面也有所应用。论文将从我国民营资本投资的现状为出发点来引出使用实物期权进行投资决策的必要性。在此基础上文章进一步分析了实物期权在经营性基础设施项目中的适用范围。在B-S模型的理论框架下,着重分析了成长期权的单一成长期权定价模型和序列成长期权定价模型,并对模型中的各个参数进行了深入的研究。接着论文通过案例分析了实物期权方法与传统投资决策方法对项目投资价值决策的差别,进一步的敏感性分析表明期权价值对不同参数的敏感度存在差异。通过实物期权理论在经营性基础设施项目中的应用,论文也指出这种方法存在的不足,对项目的期权博弈分析进行了简单的剖析,为研究的进一步深入提出了展望。更多还原

【Abstract】 Operational infrastructure is an important part of China’s economic and social development and it becomes the guarantee to the long-term development of community coordination. With the rapid economic development, China has further expanded its needs for infrastructure. However, the government’s revenue is limited, so infrastructure development cannot be entirely relied on government investments. Based on the reality, the government began to relax the constraints on operational infrastructure and allows private capital with good quality to participate in the conquest of monopoly infrastructure. In the course of this attempt, how to determine the value of infrastructure projects is the most concern of both parties and is the issue urge for solution in this study field. How to attract private capital and how to carry out efficient investment decisions to make capital investment to achieve the best results? These require people to provide a practical analysis of the feasibility study. In general, the operating infrastructure projects are with such characters as irreversible, uncertainty and timing. The basic assumptions and the process of project construction and operation of traditional net present value method the do not match the actual situation, which ignore these basic features in these investment decision-makings. By and large, we need to introduce real option pricing methods into the investment decisions of commercial infrastructure projects.As real options theory has been widely used in corporate investment decisions and has also been applied in the infrastructure investment decisions. This paper sets the status of private capital investment as a starting point in order to lead to necessaries of investment decisions by using real options. On this basis, the article further analyzes the application of real options in infrastructure projects. Under the theoretical framework B-S model, the paper focuses on the analyzes the growth option in both single growth option pricing model and serial growth option pricing model, and also study the various parameters in the model with depth. The paper analyzes the difference between real options approach and the traditional methods of investment decision making by real cases. What is more, it further shows the analysis that great differences exist among the sensitivities of the option value to different parameters. Through the application of real options theory in commercial infrastructure projects, the paper also points out the shortcomings of this approach, which provides the solution of game analysis and shows further research prospects.更多还原