实物期权理论及其在房地产投资中的应用

【作者】 周俊明；

【导师】 周溪召；

【作者基本信息】 上海海事大学 ， 管理科学与工程， 2005， 硕士

【摘要】 实物期权是一种来自于金融衍生工具的新理论方法,正逐步广泛地应用在投资决策、财务管理、价值评估领域。它是金融期权理论在实物投资领域的发展和应用。 房地产实物期权观点与传统投资观点不同,它强调投资决策中的灵活性。管理的柔性具有期权特征,好比投资者可以选择的一系列实物期权。基于期权理论的实物期权方法把项目的静态PNV(净现值)加上一个期权价值,从而弥补了传统投资决策方法的不足。实物期权理论应用于房地产投资决策,并不是对传统投资分析方法的简单否定,而是在保留房地产项目传统分析方法合理内核基础上,对传统投资分析方法固有的局限性进行了突破和进一步的发展。 第1章 通过对传统的投资决策方法的不足的阐述,提出了实物期权的合理性和科学性。借用金融期权的定义,详细介绍了实物期权及其文献。 第2章基于金融期权的定价原理(OPT原理),详细推导了实物期权的定价思路:无套利原理和风险中性原理;然后介绍了布莱克斯—科尔斯定价模型和二项式定价模型,对于后者在上述两个原理下分别加以详细推导。最后针对价值漏损随实物期权的定价进行修正。 第3章 通过阐述房地产本身的风险特征和不确定性,对房地产开发投资决策的期权特征进行了深入分析,提炼出了房地产开发投资决策中常见的期权问题及定价方法,并建立了可操作性的实物期权方法在房地产开发投资决策中应用的基本框架。 第4章 讨论了两个来自实务的案例:第一个案例是空地开发案例,由于项目本身可以延迟投资从而产生了一个延期期权;第二个案例是商场的租买问题,这个问题利用租或买商场的方式特定时候可以转换的特征,从而产生了一个转换期权。本章建立实物期权定价模型,结合VBA(VISUAL BASIC APPLICATION应用编程)具体分析其价值及影响因素。上述案例希望为实物期权理论在房地产投资决策的应用起到一个范例作用。 最后总结了本论文的主要研究工作,指出了我国房地产开发企业今后在应用实物期权方法进行房地产开发投资决策时要注意的一些问题,并展望了实物期权方法的未来研究方向。更多还原

【Abstract】 Real option, as a new theoretical approach, derived from finance option theory, was gradually applied to such fields as investment decision making, financial management, and value assessment. Real option is the development and application of financial option to the field of real investment.The real option view of real estate refrains from the traditional perspective and stresses the aspects of flexibility and variability. Flexibility equals a range of options an investor can choose from. Against this background the real option approach can supplement the weaknesses of traditional methods by adding an option value to solely NPV-based static value of an investment project. The application of real option to real estate investment decision making is not just a simple negation of the traditional investment analyzing methods, but a breakthrough of their limitations and further development on the basis of retaining the essence of traditional investment analyzing methods.In the first chapter, the thesis expounds the limitations of traditional investment decision making methods, and then demonstrates the reasonable and scientific features of real option. By the use of financial option, this chapter introduces real option and reviews literatures of the field.In the second chapter, based on the option pricing theory (OPT), the thesis detailedly described the thinking of real option pricing: No—Arbitrage and risk— neutral, then introduced two valuation models: Black—Scholes model and binomial option model. The latter is deduced according to the OPT in this part. At last, the approach is supplemented according to the value leakage.In the third chapter, by expounding the risk & uncertainty of real estate project ,the option characteristics and common option Problems of the investment decision of real estate project are analyzed in details. And the basic frame of the application of real Option approach in the decision is built.In the fourth chapter two cases from practice are discussed: First is about the development of vacant land. An option to defer investment is created because the project maybe defer to invest; Second is about the leasehold or purchase of a mall. The priority to buy the mall provides an option to switch use. The author establishes real option valuation models, and then computes the value of real option with VBA, analyze the effect by all factors lastly. Such cases are expected to provide paradigms to the application of real option in real estate investment.The last part mainly illuminates the research work, points out some issues needed to pay attention to and prospects the trends of the real option approach in the future research.更多还原