房地產開發選擇權評價：二項式選擇權定價模型與蒙特卡羅模擬混合法

在房地產開發投資領域中，由於未來景氣具有不確定性，為了判斷採取啟動開發專案或採取策略性等待何者較為有利，可利用實質選擇權觀念的延遲選擇權進行評估。本文提出三種評價模式：（1）模式一：土地成本與房地產總銷售金額分成兩個期望值比例無關的隨機變數（2）模式二：土地成本與房地產總銷售金額分成兩個期望值比例固定的隨機變數（3）模式三：土地成本與房地產總銷金額分成二個期望值比例介於無關與固定與之間的變數。模式三以一個「土地價值持續因子」來整合模式一與二。土地價值持續因子越大，土地成本偏向只考慮前期土地價格；反之，土地價值持續因子越小，土地成本偏向連結房地產銷售金額。本研究採用二項式選擇權定價模型與蒙特卡羅模擬混合法求解這三個模型。敏感性分析顯示，現價（房地產總銷售金額）、房地產價格波動率、房地產價格變化率、存續期間長度、土地價值持續因子、土地價格波動率越大，則擴張NPV越大。履約價格（建築成本）、土地成本與房地產總銷售金額之間的相關係數、土地現在價值、必要報酬率越大，則擴張NPV越小。這些現象都可以用選擇權的價值來自「選擇有利情況的機會」來解釋。例如以土地價值持續因子為例，當土地價值持續因子越大，土地成本偏向只考慮前期土地價格，造成土地成本偏離房地產銷售金額，導致「有利情況的機會」增加，故擴張NPV越大。

關鍵字

房地產開發；實質選擇權；二項式選擇權定價模型；蒙特卡羅模擬

並列摘要

In the field of real estate development and investment, since the future economy is uncertain, to judge that either to start the development project or to adopt the delay strategy is more favorable, the delay real option approach can be employed. In this study we proposed three evaluation models: Model 1: the cost of land and the total amount of sales of real estate are two random variables without fixed ratio between their expectation value, Model 2: the cost of land and the total amount of sales of real estate are two random variables with fixed ratio between their expectation value, Model 3: Using a ＂Land Value Sustainable factor＂ to integrate model 1 and model 2 into a hybrid model. The larger the Land Value Sustainable factor, the closer the model near the model 1; on the contrary, the model near model 2. A hybrid approach of Binomial Options Pricing Model and Mote Carlo Simulation is employed to solve these three models. The sensitivity analysis shows that the higher the current price (total sales amount of real estate), the volatility of real estate price, the change rate of real estate price, the time to expiration, the land value sustainable factor, and the volatility of land price, the higher the extended NPV is. On the other hand, the higher the strike price (construction cost), the correlation coefficient between the land price and the total sales amount of real estate, the current price of land, and the required rate of return, the smaller the extended NPV. These phenomena can all be explained by the principle that the value of the option gains from the ＂opportunity to choose the favorable situation＂. For example, the higher the land value sustainable factor, the closer the land price to its last land price is. Then, the more possible the land cost will be to deviate from the total sales amount of real estate. Therefore, the opportunity to choose the favorable situation becomes greater, and then the extended NPV also becomes greater.

並列關鍵字

real estate development ； real option ； binomial option pricing model (BOPM) ； Monte Carlo simulation

國際替代計量

房地產開發選擇權評價：二項式選擇權定價模型與蒙特卡羅模擬混合法

全文下載

主題瀏覽