城市轨道交通项目建设时机选择的实物期权随机变量模型

A Real Option Model with Stochastic Variables of Construction Timing Selection of Urban Rail Transit Projects

考虑到城市轨道交通投资的不可逆性、不确定性、灵活性和公益性,提出城市轨道交通项目建设时机选择的实物期权随机变量模型。该模型运用几何布朗运动描述投资的不确定性因素,包括运营收入与建设成本,推导出这些因素的建设时机影响函数,以揭示推迟投资的影响。定义经营型和引导型价值的计算方法用以反映投资的经济效益和社会效益。运用蒙特卡洛模拟与OptQuest优化技术求解不同目标下的最优建设时机。算例分析表明,考虑城市轨道交通项目投资的引导型价值与单纯考虑经营型价值的最佳建设时机的计算结果不同。研究结果可为城市轨道交通发展规划的制定与实施提供理论依据。

Considering uncertainty, irreversibility, flexibility and public characteristics of rail transit investment, a real option model with stochastic variables for determining construction timing of rail transit projects is presented. The geometric brownian motion was used to describe uncertainty factors of rail transit investment including passenger flow and construction cost in the model. The influence functions of construction timing of the uncertainty factors were deduced to reveal the influence of deferring investment. Operational value and guidable value were defined to reflect economic benefits and social benefits of investment. Monte Carlo simulation and OptQuest were used to determine the optimal construction timing with different goals. The case study shows the construction timing result of considering guidable value is different from the result of merely considering operational value. Research results provide a theoretical foundation for rail transit development planning and decision-making.