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

Evaluating the Real Estate Development Option: A Hybrid Approach of Binomial Options Pricing Model and Mote Carlo Simulation

官苑鈞(Yuan-Chun Kuan)

指導教授 ： 葉怡成

淡江大學/工學院/土木工程學系碩士班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00324

摘要

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) 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) 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) 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，土地成本偏向考慮房地產銷售金額。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。結果如下：(1) 敏感性分析顯示土地價值持續因子越高，擴張NPV越大。(2) 橫向分析：選擇權價值的分布顯示土地價值持續因子越高，擴張淨現值的分布會越靠右側。(3) 縱向分析：無論土地價值持續因子大小，時間越長，選擇權價值期望值都逐年上升，但是當土地價值持續因子越大，選擇權價值期望值增加得越多。無論土地價值持續因子高低，到期限時履約機率皆會大幅上升。

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. The real options approach in this study 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 results are as follows: (1) The higher the Land Value Sustainable factor, the greater the expansion value of extended NPV. (2) The higher the Land Value Sustainable factor, the distribution of extended NPV will more near the right side. (3) No matter the Land Value Sustainable factor is great or small, the expectation value of extended NPV increases every year, and when the Land Value Sustainable factors is greater, the expectation value of extended NPV increases sharply, and the execution probability increases significantly near the expiration date.

並列關鍵字

real estate development ； real option approach ； Binomial Options Pricing Model (BOPM) ； Mote Carlo Simulation

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