| 基于障碍期权的基础设施项目政府担保价值研究 |
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| 引用本文： | 高峰,郭菊娥,赵强兵.基于障碍期权的基础设施项目政府担保价值研究[J].预测,2007,26(2):76-80. |
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| 作者姓名： | 高峰 郭菊娥 赵强兵 |
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| 作者单位： | 西安交通大学,管理学院,陕西,西安,710049 |
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| 摘 要： | 障碍期权是B-S期权定价模型结合特定约束条件的一种路径依赖期权。本文基于基础设施项目的政府担保期权特性辨析,给出政府提供的基础设施项目担保的价值是一种下降敲入看跌期权,提出了政府担保价值的定价模型及其计算公式,为政府对基础设施项目担保决策提供了理论依据。
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| 关 键 词： | 障碍期权 B-S模型 路径依赖期权 政府担保 下降敲入看跌期权 |
| 文章编号： | 1003-5192（2007）02-0076-05 |
| 收稿时间： | 2006-06-21 |
| 修稿时间： | 2006-06-21 |
The Barrier Options-based Research of the Value of Government Guarantees in Infrastructure Projects |
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| GAO Feng,GUO Ju-e,ZHAO Qiang-bing.The Barrier Options-based Research of the Value of Government Guarantees in Infrastructure Projects[J].Forecasting,2007,26(2):76-80. |
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| Authors: | GAO Feng GUO Ju-e ZHAO Qiang-bing |
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| Abstract: | A barrier option is a type of path-dependent options which is constructed by B-S model subject to specific constraint conditions,under the analysis of government guarantees'option characters in infrastructure projects,this paper puts forward that government guarantees is a type of down-and-in put option,gives the valuation model and it's solution,provides theoretical basis for the decision-making of government guarantees to infrastructure projects. |
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| Keywords: | barrier option B-S model path-dependent options government guarantees down-and-in put option |
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