Reservation Option Pricing on Truck-Only Toll Lanes

• Main Authors: Hsiao-Wei Hu, 胡筱薇
• Other Authors: Chin-Peng Chu
• Format: Others
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/42c9ua

碩士 === 國立東華大學 === 運籌管理研究所 === 100 === Freight industry is facing a large challenge that the demand of road capacity will insufficient because of mass traffic flows. Our study provides a pricing strategy which uses Truck-Only Toll lanes on highways to solve congested conditions. A reservation booking system is provided for advance purchase option before driving on TOT lanes. In our study, we also present a real option approach to measure road prices by average traffic flow for TOT lane option. We use Black-Scholes model which includes Partial Differential Equation, the initial condition, and the boundary condition to model the TOT lane option pricing model. There are two cases in our study. One is a TOT lane option without rebate; the other is a TOT lane option with rebate. In the TOT lane option pricing model, there are two strategies about whether the government gives buyers an exercise right after traffic flow touches a boundary or not. We assume the parameters including conversion rate and boundary and other parameters that are kept constant. At last, we get various relationships in it, and discover these two parameters have a greater influence on the option price. The conversion rate has a positive relationship with the option price. According to our analyses, we discover a boundary and rebate influence the price of a TOT lane option very much. The boundary has a negative relationship with the option price. The issue of a TOT lane option can base on our information to modify the option price. The average traffic flow and volatility are calculated by using highway historical data. Then, we applied this traffic flow data into the TOT lane option pricing model to calculate the prices at various time. This model can compute different exercise dates to satisfy the request from the government. Finally, the price of a TOT lane option will be higher when the traffic flow is approaching the boundary, which means the traffic flow could be large at maturity；Conversely, the price of a TOT lane option will be smaller when the traffic flow is far away the boundary, which means the traffic flow could be small at maturity. By the price of the TOT lane option, the truckers can decide which lane to use such that the highway administers can manage the traffic flow.