基于上升敲出期权的基础设施项目政府担保价值研究

Research on Government Guarantees Value in Infrastructure Projects Based on the Up-and-Out Options

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。

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.