High-speed rail transport valuation with stochastic demand and investment cost

被引：7

作者：

Pimentel, Pedro ^{[1
]}

Nunes, Claudia ^{[2
]}

Couto, Gualter ^{[1
]}

机构：

[1] Univ Acores, Fac Econ & Gestao, CEEAplA, Rua Mae Deus, P-9501801 Ponta Delgada, Portugal

[2] Univ Lisbon, Inst Super Tecn, Dept Matemat, CEMAT, Lisbon, Portugal

来源：

TRANSPORTMETRICA A-TRANSPORT SCIENCE | 2018年 / 14卷 / 04期

关键词：

Transport; investment; uncertainty; timing; option; waiting; D81; D83; D92; UNCERTAINTIES;

D O I：

10.1080/23249935.2017.1384936

中图分类号：

U [交通运输];

学科分类号：

08 ; 0823 ;

摘要：

This paper extends Couto, Gualter, Claudia Nunes, and Pedro Pimentel [(2015). High-speed Rail Transport Valuation and Conjuncture Shocks.' European Journal of Finance 21(10-11): 791-805] high-speed rail (HSR) transport valuation framework using real options analysis to embrace the stochastic investment costs. Optimal timing to invest, value of the option to defer, and investment opportunity value are assessed considering uncertainty about HSR demand and investment expenditures, both following a geometric Brownian motion with jumps driven by Poisson processes. The numerical results show consistency with the results presented in Couto, Nunes, and Pimentel (2015).

引用

页码：275 / 291

页数：17

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