基于延迟期权的船舶投资时机

Ship Investment Time Based on Real Option Valuation

为指导船舶投资决策,建立船舶经营净现金流服从几何布朗运动假设下的延迟期权模型,求解投资临界和期权价值,研究船舶投资时机。采用2001—2012年远东—西北欧航线巴拿马型集装箱船的经营数据进行实证分析发现:船舶的投资时机为航运业复苏和繁荣期,如2001—2008年和2010年前3个季度;投资临界随无风险利率的上升而提高。对比集装箱船舶实际下订单数据发现,模型求解结果具有1 a的超前。运用实物期权指导船舶投资时,购买二手船比订造新船效果更好。

A real option to defer model is established to study the ship investment opportunity with the hypothesis that the net operating cash flow follows the geometric Brownian motion. The empirical analysis is performed with the real data of ship building costs, operating costs and the revenue of Panama containerships on Far East to North-Western Europe liner ship- ping route from 2001 to 2012. it shows that recovery and peak stage are suitable for investment, such as 2001 to 2008 and the first three quarters of 2010. The investment threshold rises with risk free rate going up. The research on the variation of actual containership investments indicates that the model can reflect the trend a year earlier than the situation comes. The real option valuation indicates that to purchase second-hand ships is better than to order new vessels.