随机条件下房地产开发最优时机选择及其可达性问题的研究.pdfVIP

____________________________________________________________________________ 随机条件下房地产开发的最优时机选择及其可达性问题研究① 蔡晓钰 1 1 2 陈忠 蔡晓东 （1.上海华山路 1954号上海交通大学 287信箱 上海 200030;2.北京广播电视大学门头沟分校 北京 102300） E-mail:cai_xy4397@163.com Tel:021Dorm) 摘 要:本文在房地产价格与建安成本二重随机性以及二者具有相关性的条件下，运用期权 定价技术建模研究了房地产开发商的最优时机选择问题，明确了投资规则所包含的期权价值, 分析了相关性与期权价值的负向变动关系，并特别指出：当相关性存在时，不确定性并不一 定总是提高期权价值。此外，我们还运用首次可达时间方法FPTA 研究了被传统文献长期有 所忽视的最优时机的可达性问题，并指出较小的 Hurdle 比意味着较小的平均可达时间或较 大的可达性几率。 关键词:房地产开发；开发时机；Hurdle 比；实物期权；首次可达时间方法； Research of the Optimal Time to Develop and its’ Passage Problem for Real Estate Developers under the Stochastic Conditions 1 1 2 CAI Xiao-yu ，CHEN Zhong , CAI Xiao-dong （1.Mail Box 287, Shanghai Jiaotong Univ., 1954 Huashan Road, Shanghai, 200052;2. Beijing Mentougou TV Univ. Beijing 102300） Abstract: Under the Stochastic Conditions of both real estate price and construction costs which are correlative, utilizing the real option pricing technique, the author investigates the problem of the optimal time to develop. The result shows that there exists option value in investment rules and negative relationship between correlation and option value. As the condition of the correlation, it is not certain that uncertainty always can increase the option value. In addition to, through being exploited the first passage time approach (FPTA), this paper also focuses on the passage problem which has been ignored by existing literatures related to time to develop of real estate developme