VALUING CALLABLE AND PUTABLE REVENUE-PERFORMANCE-LINKED PROJECT BACKED SECURITIES

Feng Dong (), Nicola Chiara () and Jan Vecer ()
Additional contact information
Feng Dong: Department of Civil Engineering, Columbia University, New York, NY, 10027, USA
Nicola Chiara: Department of Civil Engineering, Columbia University, New York, NY, 10027, USA
Jan Vecer: Department of Statistics, Columbia University, New York, NY, 10027, USA

International Journal of Theoretical and Applied Finance (IJTAF), 2010, vol. 13, issue 05, 751-765

Abstract: Public owners face a constant demand for developing new projects and for funding the renewal, maintenance and operation of existing infrastructure projects. One way to raise capitals to provide new financial resources to constrained budgets is to securitize a stream of revenue cash flows from a portfolio of mature infrastructure projects. We present a new type of PBS, the revenue performance-linked project backed securities (PBS), with embedded call and put options. In this new PBS setting, risks for issuers and buyers can be confined within a cut-off area. This risk hedging feature is expected to facilitate the trading of such products.

Keywords: Dynamic programming; simulation; real options; project finance (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S021902491000598X
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:13:y:2010:i:05:n:s021902491000598x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S021902491000598X

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().