運用二階段實質選擇權降低BOT計畫之財務風險－－以高雄第一港口觀光纜車計畫為例

Reducing the BOT Financial Risk with Two-Stage Real Options: Using the Kaohsiung Cable Car Project in Taiwan as an Example

有些民間參與投資 （BOT） 之計劃，因在政府規劃階段風險性較高，評估之預期淨現值為負，而對投資人不具吸引力，然而，當外在環境及市場較確定時，即可能成為一個財務可行的計畫。若政府給予BOT 的特許投資人一個選擇的權利，對計畫的擴充及終止有決策權，將可提高計畫的可行性。本研究主旨在分析給予投資人決策彈性，對提高BOT 計畫可行性的效益。本研究以高雄第一港口觀光纜車計畫為個案，先使用現金流量分析法作為財務規劃評估之基礎，繼而透過蒙地卡羅模擬預估計畫效益之淨現值，以及可能損失之風險，再用二項式選擇權訂價模式，評估給予特許投資人擴充及提前終止之選擇權，對計畫價值的影響。

Some private participation projects reveal high risk with negativeexpected net present value (NPV) and are therefore not viable as privateinvestments in the planning stage. However, as the external environmentand the market become more certain, these projects might becomefinancially feasible. The viability of the project may be improved if thehost government offers concessional investors the options or rights toexpand or terminate the project in response to environmental changes.This paper aims at presenting the effect of decision flexibility on projectfeasibility, using the Kaohsiung Cable Car Project (the Project) as an example. We developed the pro forma cash flow of the Project as the basecase. Monte Carlo simulation was conducted subsequently to estimate theexpected NPV and the probability of loss. Binomial option pricing wasthen used to measure the effect of the options to expand and terminateproject value.