期权理论在房地产投资决策中的应用
(华南理工大学数学科学学院, 广东 广州 510640)
- 文献要素
-
[摘 要] 通过金融期权与实物期权的对比,引入实物期权理论;然后分析了传统房地产投资决策方法的不足,并根据房地产资产价格经常发生跳跃而并非连续的特点,将期权理论中用于房地产投资决策分析的B-S模型推广到跳跃扩散模型,进而提高房地产投资决策的科学性。[关键词] 金融期权,实物期权,房地产,Black-Scholes模型,跳跃扩散Abstract: Through contrasting financial options and real options, the paper introduces real option theory, then analyzes the shortcomings of the traditional real estate investment decision method. According to the characteristics that real estate asset price is not continuous but frequently jump, the B-S model which is used in the analysis of investment decision of real estate in option theory is extended to jump diffusion model, which enhance the real estate investment decisions in a scientific way.Key words: options; real options; real estate; Black-Scholes model; jump diffusion[参考文献][1]Gregory G Gosfield.A primer on real estate options[J].Real Property,Probate and Trust Journal,2000,35(spring):129-195.[2]李进涛,朱佳林,郭志涛.实物期权理论在房地产投资决策中的应用[J].华中科技大学学报(城市科学版),2003,20(2):91-94.[3]Cox, J.,Ross, S. & Rubinstein, M.Option pricing:a simplified approach[J]. Journal of Financial Economics,1979,7(3):229-263.[4]刘新平,宁丽娟.支付红利的跳跃扩散过程的股票期权定价[J].西北大学学报 2005,35(5):497-499.[5]杨云锋,金浩,刘新平.跳扩散模型的期权定价[J].宝鸡文理学院学报(自然科学版),2006,26(1):10-14.[6]马莎·阿姆拉姆,纳林·库拉蒂拉卡.实物期权-不确定性环境下的战略投资管理[M].北京:机械工业出版社,2001.[7]左立,李济民.房地产投资决策中的实物期权分析方法[J].重庆建筑大学学报,2004,26(1):115-118.[8]杨兴月,郜建人.基于实物期权的房地产投资决策方法[J].统计与决策,2005(3):49-50.建筑经济,2009(2):91-93