Abstract

Study on options valuation of civilian airport infrastructure based on computer simulation

Author(s): Runrun Dong

For the options value of the civilian airport infrastructure, the paper posits that environmental uncertainty and government guarantee of the civil airport industry add to project option value. First, the author processes the option pricing problem with stochastic volatility from the Knight uncertainty perspective, and it is assumed that the asset price followsBrownianmotion. Then the author obtains the optimal probability under individual Knight uncertainty, and establishes the minimum pricing model with random volatility on this probabilitymeasure, deriving theminimumpricing formula of European call option with Knight aversion. Second, the author uses MATLAB simulation calculating the impact of restricting competition on the project value by modeling, MATLAB. A case of value options of the Hongqiao business jet is studied in order to prove this formula.


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