Show simple item record

dc.contributor.authorJones, Hamishen_NZ
dc.date.available2011-04-07T03:14:58Z
dc.date.copyright2002-10-23en_NZ
dc.identifier.citationJones, H. (2002, October 23). The pricing of minimum revenue guarantees on toll roads (Thesis). Retrieved from http://hdl.handle.net/10523/1370en
dc.identifier.urihttp://hdl.handle.net/10523/1370
dc.description.abstractA recent and exciting innovation in the field of corporate finance has been the application of financial derivatives theory to investment analysis. This study utilizes this insight to develop a model for pricing minimum revenue guarantees on toll roads. In some countries minimum revenue guarantees are a common way for government to subsidize private toll road development. A minimum revenue guarantee gives the owner the right to swap the revenue generated from an asset over a preceding period for a fixed amount of cash should they choose to do so. Unfortunately, minimum revenue guarantees create contingent liabilities for the granting government that are rarely, if ever, accounted for on the government's balance sheet. These liabilities may represent a significant unmanaged risk for many countries. This study uses the arbitrage arguments developed for the pricing of financial options to build a model for quantifying the cost of the contingent risk to the government arising from minimum revenue guarantees on toll roads. This model may provide a framework for improved risk management strategies for countries that grant minimum revenue guarantees on toll roads.en_NZ
dc.subjectfinancial derivatives theoryen_NZ
dc.subjectinvestment analysisen_NZ
dc.subjectminimum revenue guaranteesen_NZ
dc.subjecttoll roadsen_NZ
dc.subjectcontingent liabilitiesen_NZ
dc.subjectminimum revenue guaranteesen_NZ
dc.subjectpricing of financial optionsen_NZ
dc.subjectrisk management strategiesen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.titleThe pricing of minimum revenue guarantees on toll roadsen_NZ
dc.typeThesisen_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages50en_NZ
otago.date.accession2007-04-05en_NZ
otago.schoolFinanceen_NZ
thesis.degree.disciplineFinanceen_NZ
thesis.degree.grantorUniversity of Otagoen_NZ
thesis.degree.levelMasters Thesesen_NZ
otago.interloanyesen_NZ
otago.openaccessAbstract Only
dc.identifier.eprints589en_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
dc.description.referencesArnram, M-, and N. Kulatilaka, 1999, Real Options: Managing Strategic Investment in an Uncertain World, Boston, Massachusetts: Harvard Business School. Fishbein, G., and S. Babbar, 1996, Private Financing of Toll Roads: A Review of Experience, Resource Mobilization and Cofinancing Discussion Paper, Washington D.C.: World Bank. Black, F., 1975, Fact and Fantasy in the use of Options and Corporate Liabilities, Financial Anaysts Journal 31, 36-41, 61-72. Black, F., and M- Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 1973, 637-659. Boyle, P., 1977 , Options: A Monte Carlo Approach, Journal of Financial Economics 4, 323-38- Broadie, M., and P. Glasserman, 1996, Estimating Security Prices Using Simulation, Management Science 42, 269-285. Briys, E-, Bellalah, M., Mai, H. and F. de Varenne, 1998, Options, Futures, and Exotic Derivatives: Theory, Application and Practice, New York: John Wiley & Sons. Cox, J., and S. Ross, 1976, The Valuation of Options for Alternative Stochastic Processes, Journ aolf Financial Economics 3, 145-166. Cox, J., Ross, S-, and M. Rubinstein, 1979, Option Pricing: A Simplified Approach, Journal of Financial Economics 7, 229-264. Cronze, A., and R. Viswanathan, 1991, Path Dependent Options: The Case of Lookback Options, Journal of Finance 46, 893-1907. Epps, 'F., 2000, Pricing Derivative Securities, River Edge, NJ: World Scientific. Hull, J., 2000, Options, Futures, and Other Derivatives, 4thed, Upper Saddle River, NJ: Prentice-Hall International. Hull, J-, and A. White, 1993, Efficient Procedures for Valuing European and American Path Dependent Options, Journal of Derivatives, 21-31. Irwin, T-, Klein, M., Perry, G., and M. Thobani, eds., 1997, Dealing with Public Risk in Private Infrastructure, World Bank Latin American and Caribbean Studies: Viewpoints, Washington D.C.: World Bank. Levy, E., 1992, Pricing European Average Rate Currency Options, Journal of International Money and Finance 11, 474-491- Lewis, C., and A- Mody, 1997, The Management of Contingent Liabilities: A Risk Management Framework for National Governments, In Irwin, T-, and others, eds. Dealing with Public Risk in Private Infrastructure, World Bank Latin American and Caribbean Studies, Washington, D.C-: World Bank. Kemma, A-, and A- Vorst, 1990, A Pricing Method for Options Based on Average Asset values, Journal of Banking and Finance 14, 113-129. Merton, R., 1973, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science 4, 141-183. Polackova, H, 1998, Contingent Government Liabilities, Working Paper, Washington, D.C.: World Bank. Ritchken, P., Sankarasubramanian, L., and A. Vijh, 1993, The Valuation of Path Dependent Contracts on the Average, Management Science 39, 1202-1213. Smith, C., 1976, Option Pricing: A Review, Journal of Financial Economics 9, 3-54- Wilmott, P., Howison, S-, and J- Dewynne, 1993, Option Pricing: Mathematical Models and Computation, Oxford: Oxford Financial Press. Wilmott, P-, Howison, S., and J. Dewynne, 1995, The Mathematics of Financial Derivatives, Oxford: Cambridge University Press.en_NZ
 Find in your library

Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item is not available in full-text via OUR Archive.

If you would like to read this item, please apply for an inter-library loan from the University of Otago via your local library.

If you are the author of this item, please contact us if you wish to discuss making the full text publicly available.

This item appears in the following Collection(s)

Show simple item record