| 基于上升敲出期权的基础设施项目政府担保价值研究 |
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| 引用本文： | 高峰,郭菊娥,王乐,张国兴.基于上升敲出期权的基础设施项目政府担保价值研究[J].软科学,2007,21(4):51-55. |
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| 作者姓名： | 高峰 郭菊娥 王乐 张国兴 |
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| 作者单位： | 西安交通大学,管理学院,西安,710049 |
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| 摘 要： | 基于基础设施项目政府担保的期权特性辨析,指出带有担保上限的基础设施项目政府担保是一种上升敲出看跌期权,在B-S期权定价模型的基础上,结合特定约束条件提出了政府担保价值的定价模型及其计算公式。
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| 关 键 词： | 政府担保 上升敲出看跌期权 B-S模型 基础设施项目 |
| 文章编号： | 1001-8409（2007）04-0051-05 |
| 修稿时间： | 2006-12-25 |
Research on Government Guarantees Value in Infrastructure Projects Based on the Up-and-Out Options |
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| GAO Feng,GUO Ju-e,WANG Le,ZHANG Guo-xing.Research on Government Guarantees Value in Infrastructure Projects Based on the Up-and-Out Options[J].Soft Science,2007,21(4):51-55. |
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| Authors: | GAO Feng GUO Ju-e WANG Le ZHANG Guo-xing |
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| Abstract: | Under the analysis of government guarantees' option characters in infrastructure projects,this paper points out that government guarantees accompanied upper limit of guarantee level is a type of up-and-out put option.This paper also gives the valuation model and solution based on the B-S model subjected to specific constraint conditions,and provides theoretical foundation for the decision-making of government guarantees in infrastructure projects. |
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| Keywords: | government guarantees up -and- out put option B -S model infrastructure projects |
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