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    Real Options–Based Approach for Valuation of Government Guarantees in Public–Private Partnerships

    Source: Journal of Infrastructure Systems:;2013:;Volume ( 019 ):;issue: 002
    Author:
    Ali Almassi
    ,
    Brenda McCabe
    ,
    Matthew Thompson
    DOI: 10.1061/(ASCE)IS.1943-555X.0000117
    Publisher: American Society of Civil Engineers
    Abstract: A fast and computationally efficient valuation tool assists governments involved in Public–Private Partnership (P3) projects to examine many contractual configurations and design a guarantee that minimizes cost and reasonably mitigates the risk. This paper presents a continuous stochastic process derived from the risk factor forecast, thereby providing a more realistic and flexible model. A new valuation approach is developed by using a finite-difference method based on this continuous stochastic process. In a numerical example with one risk factor, it is shown that this new valuation tool is 100 times faster than the existing simulation-based approach. Its superior speed presents the opportunity to examine different contractual configurations, and as a result, design a more cost effective guarantee contract. Exercise strategies are derived for a multiple-exercise (Australian) guarantees structure. This new approach can be used by a government to reserve budget for the guarantees. Finally, the continuous underlying random process and exercise strategy enable this method to value more complex guarantee structures.
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      Real Options–Based Approach for Valuation of Government Guarantees in Public–Private Partnerships

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    http://yetl.yabesh.ir/yetl1/handle/yetl/65705
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    contributor authorAli Almassi
    contributor authorBrenda McCabe
    contributor authorMatthew Thompson
    date accessioned2017-05-08T21:53:50Z
    date available2017-05-08T21:53:50Z
    date copyrightJune 2013
    date issued2013
    identifier other%28asce%29is%2E1943-555x%2E0000145.pdf
    identifier urihttp://yetl.yabesh.ir/yetl/handle/yetl/65705
    description abstractA fast and computationally efficient valuation tool assists governments involved in Public–Private Partnership (P3) projects to examine many contractual configurations and design a guarantee that minimizes cost and reasonably mitigates the risk. This paper presents a continuous stochastic process derived from the risk factor forecast, thereby providing a more realistic and flexible model. A new valuation approach is developed by using a finite-difference method based on this continuous stochastic process. In a numerical example with one risk factor, it is shown that this new valuation tool is 100 times faster than the existing simulation-based approach. Its superior speed presents the opportunity to examine different contractual configurations, and as a result, design a more cost effective guarantee contract. Exercise strategies are derived for a multiple-exercise (Australian) guarantees structure. This new approach can be used by a government to reserve budget for the guarantees. Finally, the continuous underlying random process and exercise strategy enable this method to value more complex guarantee structures.
    publisherAmerican Society of Civil Engineers
    titleReal Options–Based Approach for Valuation of Government Guarantees in Public–Private Partnerships
    typeJournal Paper
    journal volume19
    journal issue2
    journal titleJournal of Infrastructure Systems
    identifier doi10.1061/(ASCE)IS.1943-555X.0000117
    treeJournal of Infrastructure Systems:;2013:;Volume ( 019 ):;issue: 002
    contenttypeFulltext
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    DSpace software copyright © 2002-2015  DuraSpace
    نرم افزار کتابخانه دیجیتال "دی اسپیس" فارسی شده توسط یابش برای کتابخانه های ایرانی | تماس با یابش
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