基礎建設延期選擇權評價方法 - 結合模擬法之二項式選擇權定價模型

Evaluation method of option to defer for infrastructure construction - Binomial options pricing model combined with Monte Carlo Simulation

王振濱(Zhen-Bin Wang)

指導教授 ： 葉怡成

淡江大學/工學院/土木工程學系碩士班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00599

摘要

在大型基礎建設開發專案中，大多數都具有投資時間長、不確定性大的特點，必須使用實質選擇權進行評價。為了擴大應用範圍，本文放寬了傳統實質選擇權的幾個假設：(1) 投資與營運支出視為一個隨機變數。(2) 風力發電效益為一個期望值具趨勢的隨機變數。(3) 投資與營運支出採用依照學習曲線降低的成本，為一個期望值具趨勢的隨機變數。(4) 前述兩個隨機變數之間具有相關性。為了求解此一模型，本文提出一種結合模擬法的二項式選擇權定價法。結果如下：(1) 選擇權的價值與總效益趨勢係數、一年的投資人的資金成本率、投資機會總效益之現值、一年的投資機會總效益之現值的波動率、可供投資人延遲決策的期間成正比關係；(2) 選擇權的價值與總支出趨勢係數、投資機會總支出之現值、相關係數成反比關係；(3) 選擇權的價值與一年的投資機會總支出之現值的波動率呈現的關係尚不明確。(4) 本文的四個假設所產生的新參數：總效益趨勢係數、總支出趨勢係數、相關係數、投資機會總支出之現值的波動率對選擇權的價值均有明顯的影響，因此本文提出的模式可以更合理的評價大型基礎建設開發專案的潛在價值。

關鍵字

基礎建設開發 ； 實質選擇權 ； 二項式選擇權定價模型 ； 蒙特卡羅模擬

並列摘要

In the large-scale infrastructure development projects, most of them have the characteristics of long investment time and great uncertainty, so they must be evaluated by the real option. To expand the scope of application, this paper relaxes several hypotheses of traditional substantive options: (1) Investment and operating expenditure are regarded as a random variable. (2) Wind power generation benefit is a random variable with trend of expected value. (3) Investment and operating expenditure is a random variable with a trend of expectations, which is based on the cost reduction in accordance with the learning curve. (4) There is a correlation between the two random variables mentioned above. To solve this model, a binomial option pricing method combined with simulation method is proposed in this paper. The results are as follows: (1) The value of option is directly proportional to the trend coefficient of total benefit, the capital cost rate of one year's investors, the present value of total benefit of investment opportunity, the fluctuation rate of present value of total benefit of one year's investment opportunity, the period during which investors can delay decision-making; (2) The value of option is inversely proportional to the trend coefficient of total expenditure, the present value of total expenditure of investment opportunity and the correlation coefficient. (3) The relationship between the value of the option and the volatility of the present value of the total investment opportunity expenditure in one year is still unclear. (4) The new parameters produced by the four hypotheses in this paper: the trend coefficient of total benefit, the trend coefficient of total expenditure, the correlation coefficient and the volatility of the present value of the total expenditure have obvious effects on the value of options. Therefore, the model proposed in this paper can evaluate the potential value of large-scale infrastructure development projects more reasonably.

並列關鍵字

infrastructure development ； real option approach ； Binomial Options Pricing Model (BOPM) ； Mote Carlo Simulation

參考文獻

1. Akdağ, S. A., & Güler, Ö. (2010). Evaluation of wind energy investment interest and electricity generation cost analysis for Turkey. Applied Energy, 87(8), 2574-2580.

2. Boomsma, T. K., Meade, N., & Fleten, S. E. (2012). Renewable energy investments under different support schemes: A real options approach. European Journal of Operational Research, 220(1), 225-237.

3. Davis, G. A., & Owens, B. (2003). Optimizing the level of renewable electric R&D expenditures using real options analysis. Energy Policy, 31(15), 1589-1608.

4. Fernandes, B., Cunha, J., & Ferreira, P. (2011). The use of real options approach in energy sector investments. Renewable and Sustainable Energy Reviews, 15(9), 4491-4497

5. Karki, R., & Billinton, R. (2004). Cost-effective wind energy utilization for reliable power supply. IEEE Transactions on Energy Conversion, 19(2), 435-440.