关键词: 实物期权, 合作博弈, PPP 高速公路项目, 交通量, 政府担保价值

Abstract:

Transportation infrastructure projects are characterized by high investment and high risks. In order to encourage social capital institutions to invest infrastructure, the government offers traffic volume's guarantee to reduce the risks and achieve win-to-win goals. First, the real option theory is used to analyze the option characteristics of the government's guarantee which is about the traffic volume's upper and lower limits of PPP highways. From the risk sharing perspective, the paper employs the method of Shapley value to determine the government's distribution ratio to the excess earnings resulting from the exceeding traffic volume. Furthermore, it is combined with the Black-Scholes option pricing formula to study the value of the government's guarantee about the traffic volume's upper and lower limits of PPP highways. Finally, the value of government guarantee is calculated through an example of PPP highway project.

Key words: real option, cooperative game, PPP highway project, traffic volume, value of government guarantee