多層序列複合買權之平賭解及其在多期污水下水道系統投資評估之應用

Abstract

分期開發之基礎建設BOT案，投資評估相當複雜且富有多變的特性。由於折現現金流量法(Discounted Cash Flow，DCF)無法充分解釋市場不確定性造成的投資風險以及管理風險，所以，若僅以DCF法做為專案投資的評估工具，將會低估此類型專案的投資價值。 專案價值的評估，本論文從選擇權的觀點切入，考量了投資風險所造成的影響。假設一個分兩期建設的工程，廠商得標後，假設廠商在得標後即擁有了第一期工程施作的選擇權，同時該廠商也擁有後續各期開發與否的選擇權。執行選擇權，即可進行下一期工程的開發作業；不執行選擇權，即放棄了後續開發的權利，專案後續開發建設的權利歸政府(或業主)所擁有。例如：分二期開發的專案計畫，廠商得標後擁有一個單層選擇權以及一個二層的選擇權。第二期工程的選擇權必須在第一期工程完工後才能決定執行與否。考量分期開發之專案建設獨特的工程特性，考量以序列複合買權評價模型(sequential compound call options pricing model )重新評估專案之投資價值。 利用平賭法(martingale method)，在風險中立的環境下，建立序列複合買權評價模型，作為分期建設專案的財務評估工具。以兩個污水下水道系統分期興建之工程專案作為多期序列複合買權評價模型的應用案例，並且，將評估後之結果加以分析討論。

Privatized, multi-phase infrastructure projects are complex projects for which the traditional DCF project evaluation method fails to explicitly incorporate the flexibility of investment decision as well as the underlying variables controlling project values. In particular, the rights of concession to build and operate a multi-phase infrastructure project often resemble the rights to a sequential compound call options. First of all, the decision to invest in a later phase of the project is dependent on the success of the former phase. Secondly, and probably more fundamentally, substantial pre-investment is required in the formal phase of the project in order to make the later investment plausible. In this thesis, a generalized valuation model for n-fold sequential component call/put options is simplified for the evaluation of privatized, multi-phase infrastructure projects. The martingale method developed under a risk-neutral world is employed for the simplification. The derived n-fold sequential component call options have several appealing properties that are suitable for the evaluation of these complex projects. Two real-world, privatized water and sewer network projects are further employed to apply the derived model. The results indicate that the traditional DCF method tends to over-estimate project values vis-à-vis the option approach when market risks are not substantial, but to under-estimate when market risks are substantial.