基于有使用期限的房地产实物期权价值

房地产物业是有法定使用期限的.在市场不确定的条件下,假设价格指数服从几何布朗运动,采用欧式期权定价方法,考虑使用功能折旧和土地使用权摊销,研究具有期间收益和期末资产处置选择权的房地产实物期权价值.房地产实物期权定价与传统的NPV法比较,修正了物业使用期限对市场价格指数的影响,增加了期末资产处置选择权的不确定性看涨期权价值,较全面地反映了保值和增值的房地产投资特征.实证表明,投资持有期的长短和时间进程对实物期权价值有重要影响.

Real Estate Options Based on Lifetime

The real property exists with certain legal lifetime.According to BS European call option method and the price index following the geometric Brown process,this paper studied the real estate options value with the time continuous return and asset disposal choice under the uncertain market,and some parameters of buildings depreciation and lands servitude amortization are included in the models.In comparison with NPV method,the real options show fully the characters of steady returns and capital increments in real estate investment,making amendments in terms of lifetime to the real estate price index and analyzing the call options value of real property equity asset with the choice of asset disposing in end time.The empirical analysis indicates that the investing period and time series are important to the real options evaluations.