摘要水利水电一直以来都在国民经济体系中占据着重要的地位，长期以来水利行业的发展主要依赖于政府财政的投入，这种单一的融资模式在一定程度上制约了水利行业的发展。随着在国家政策主导下的水利项目投资体制的改革，放开了民间资本通过PPP（Public-PrivatePartnerships）模式参与到水利项目建设与运营，在水利项目的开发中推行PPP模式具有广阔的前景。对于私人投资者来说，实现项目经济效益的最大化是其参与水利项目建设与运营的主要动力。因此，私人投资者在进行PPP模式下水利项目的投资决策时，项目预期经济效果的评估是其中的关键。本文针对水利工程项目投资规模大，建设周期和资金回收周期长，以及项目中不确定性因素多的特点，应用实物期权的理论与方法，研究了在不确定条件下水利工程投资决策的推迟期权模型与期权价值计算方法。成果如下：（1）对传统的项目投资评价方法进行了研究，探究了传统评价方法中所存在的缺陷，应用了实物期权理论建立了水利工程项目的投资决策模型；（2）重点研究了水利工程项目投资决策中推迟期权模型的建立，并且采用了最小二乘蒙特卡洛模拟法对推迟期权的价值进行了求解；（3）分别应用传统的项目价值评价方法和推迟期权的价值评价方法对一个水利项目的投资决策案例进行了分析，将两种方法进行了对比，论证了实物期权理论对于评估水利工程项目价值的适用性。关键词：实物期权；最小二乘蒙特卡洛模拟；投资决策IABSTRACTWaterconservancyandhydropoweralwaysoccupiesanimportantpositioninthenationaleconomicsystemandforalongtimethedevelopmentofthewaterconservancyindustryhasmainlydependedonthegovernmentinput,butthesinglefinancingmodehaverestraineditsdevelopmenttosomeextent.Withthepolicy-ledreformoftheinvestmentsystemforwaterconservancyprojects,ChinahasencouragedtheprivatecapitaltoparticipateintheconstructionandoperationofwaterconservancyprojectsthroughPPP(Public-PrivatePartnerships),thusthereisabroadprospectforcarryingoutthePPPduringtheprojectdevelopment.Itistheprimaryimpetusforprivateinvestorsparticipatingintheconstructionandoperationofwaterconservancyprojectsistomaximizetheireconomicbenefitsfromtheprojects.Therefore,whentheprivateinvestorsaremakinginvestmentdecisionsinthewaterconservancyprojectsunderthePPP,it’scrucialtoevaluatetheexpectedeconomicbenefits.Withregardtothefeaturesofwaterconservancyprojects,suchaslarge-scaleinvestment,longconstructionandcapitalrecoveryperiod,aswellasmultipleuncertainties,thisarticlestudiesthedelayoptionmodelandoptionvaluecomputationalmethodforinvestmentdecision-makinginthewaterconservancyprojectsunderuncertainconditionsbyapplyingthetheoriesandmethodsofrealoption.Theresultsareasfollows:(1)Researchtheevaluationmethodoftraditionalprojectinvestment,explorethedefectsinthetraditionalevaluationmethodandestablishaninvestmentdecision-makingmodelforwaterconservancyprojectsbyapplyingthetheoriesofrealoption;(2)Focusontheestablishmentofthedelayoptionmodelintheinvestmentdecision-makinginthewaterconservancyprojectsandusetheLeast-squaresMonteCarloMethodtosolethevalueofdelayoption;(3)Utilizeboththetraditionalprojectevaluationmethodandrealoptionmethodtoanalyzetheinvestmentdecision-makingcasesofwaterconservancyprojects,compareIIthetwomethodsanddemonstrateapplicabilityofrealoptiontheoriestoevaluatethewaterconservancyprojects.Keywords:realoption;Least-squaresMonteCarloMethod;investmentdecision-makingIII目录摘要................................................................................................................................IABSTRACT..............................................................................................
