contributor author | Ali Almassi | |
contributor author | Brenda McCabe | |
contributor author | Matthew Thompson | |
date accessioned | 2017-05-08T21:53:50Z | |
date available | 2017-05-08T21:53:50Z | |
date copyright | June 2013 | |
date issued | 2013 | |
identifier other | %28asce%29is%2E1943-555x%2E0000145.pdf | |
identifier uri | http://yetl.yabesh.ir/yetl/handle/yetl/65705 | |
description 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. | |
publisher | American Society of Civil Engineers | |
title | Real Options–Based Approach for Valuation of Government Guarantees in Public–Private Partnerships | |
type | Journal Paper | |
journal volume | 19 | |
journal issue | 2 | |
journal title | Journal of Infrastructure Systems | |
identifier doi | 10.1061/(ASCE)IS.1943-555X.0000117 | |
tree | Journal of Infrastructure Systems:;2013:;Volume ( 019 ):;issue: 002 | |
contenttype | Fulltext | |