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Descripción
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| Investment projects in the field of transportation infrastructures have a high degree of uncertainty and require an important amount of resources. In highway concessions in particular, the calculation of the Net Present Value (NPV) of the project by means of the discount of cash flows, may lead to erroneous results when the project incorporates certain flexibility. In these cases, the theory of real options is an alternative tool for the valuation of concessions. When the variable that generates uncertainty (in our case, the traffic) follows a random walk (or Geometric Brownian Motion), we can calculate the value of the options embedded in the contract starting directly from the process followed by that variable. This procedure notably simplifies the calculation method. In order to test the hypothesis of the evolution of traffic as a Geometric Brownian Motion, we have used the available series of traffic in Spanish highways, and we have applied the Augmented Dickey-Fuller approach, which is the most widely used test for this kind of study. The main result of the analysis is that we cannot reject the hypothesis that traffic follows a Geometric Brownian Motion in the majority of both toll highways and free highways in Spain. | |
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Internacional
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Si |
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Nombre congreso
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13th World Conference on Transport Research |
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Tipo de participación
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960 |
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Lugar del congreso
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Río de Janeiro |
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Revisores
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Si |
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ISBN o ISSN
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DOI
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Fecha inicio congreso
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15/07/2013 |
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Fecha fin congreso
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18/07/2013 |
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Título de las actas
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