碩士 / 國立交通大學 / 土木工程系所 / 96 / Privatized, multi-phase infrastructure projects are complex projects for which the traditional DCF project evaluation method fails to explicitly incorporate the flexibility of investment decision as well as the underlying variables controlling project values. In particular, the rights of concession to build and operate a multi-phase infrastructure project often resemble the rights to a sequential compound call options. First of all, the decision to invest in a later phase of the project is dependent on the success of the former phase. Secondly, and probably more fundamentally, substantial pre-investment is required in the formal phase of the project in order to make the later investment plausible.
In this thesis, a generalized valuation model for n-fold sequential component call/put options is simplified for the evaluation of privatized, multi-phase infrastructure projects. The martingale method developed under a risk-neutral world is employed for the simplification. The derived n-fold sequential component call options have several appealing properties that are suitable for the evaluation of these complex projects. Two real-world, privatized water and sewer network projects are further employed to apply the derived model. The results indicate that the traditional DCF method tends to over-estimate project values vis-à-vis the option approach when market risks are not substantial, but to under-estimate when market risks are substantial.
| Identifer | oai:union.ndltd.org:TW/096NCTU5015069 |
| Date | January 2008 |
| Creators | 畢佳琪 |
| Contributors | 黃玉霖 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 119 |
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