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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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