國內外對BOT實質選擇權之研究，大多集中於BOT主體本身所隱含之各種選擇權價值，鮮少論及BOT附屬事業之選擇權價值。惟因交通運輸BOT主體之自償率往往偏低，故須以保證最小運量或特許經營附屬事業等方式，來吸引潛在投資者。附屬事業對整個BOT計畫價值的影響頗大，如何針對其選擇權之價值加以分析為本研究的主要課題。個案將以台灣南北高速鐵路計畫為例，對其附屬事業之放棄選擇權加以探討。
本研究將主要探討下列課題，並提出研究結果：
一、有限差分法及蒙地卡羅模擬法計算選擇權價值，其間之差異？本
文利用有限差分法及蒙地卡羅模擬法來各別求算BOT 附屬事業的
放棄選擇權價值，一來了解 BOT 附屬事業的放棄選擇權價的大
小，二來比較有限差分法及蒙地卡羅模擬法兩者間的差異。
二、BOT附屬事業的放棄選擇權是否受主體事業的經營績效所影響？
三、BOT附屬事業是否須考量履約保證金之設計？
四、BOT主體決定經營或放棄時，是否會影響其附屬事業之放棄選擇
權價值？
本研究係以蒙地卡羅模擬法及有限差分法單獨估計台灣南北高速鐵路附屬事業之放棄選擇權價值，並建立運輸主體與附屬事業間價值的關聯，再以蒙地卡羅模擬法作更精確的估算。另使用單因子變異數分析及Tukey's Multiple Comparison Method之統計方法，驗證BOT主體與其附屬事業選擇權間之相關性，期能有助於日後BOT計畫之參與者評估及決策使用。 / The study of the Real Option Analysis (ROA) thesis of BOT generally focus is on the principal parts of the project only, rarely is considered the option of ancillary business of BOT. Because the self-liquidation-ratio of the transportation of BOT is low, it needs the government financial support (minimum traffic guarantee or revenue enhancements) to attract the interest of intended investors. The influence of the ancillary business of BOT is huge, so how to evaluate the option is the big issue of thesis. The case focus on the Taiwan High Speed Rail BOT project, and will study the option value of it’s ancillary business.
Thesis will discuss the following issues, and develop the result of study.
1.The calculation difference between Monte Carlo Simulation &
Finite Difference Method to work out option value, Thesis will use the Monte Carlo Simulation & Finite Difference Method to work out the abandon option value of ancillary business of BOT. To get the abandon option value and compare the calculation difference between Monte Carol Simulation & Finite Difference Method.
2.Will the abandon option value of ancillary business of BOT be influenced by the principal parts of the project？
3.Is there a need to consider the performance security deposit of ancillary business of BOT？
4.Will the decision of BOT impact the abandon option value of ancillary business or not？
The thesis will use the Monte Carol Simulation & Finite Difference Method to calculate the abandon option value of ancillary business of Taiwan North-South High-Speed Railway Project (THR), and create the relation between the BOT & it’s ancillary business. The thesis will use the ANOVA & Tuley’s Multiple Comparison Method to validate the relationship, and hope it will let the participator to consider in the future.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0091932721 |
| Creators | 黃劉乾, Liu, Chang Huang |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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