棕色土地再开发的模糊实物期权模型构建和应用研究

发布时间：2018-01-08 05:14

本文关键词：棕色土地再开发的模糊实物期权模型构建和应用研究　出处：《合肥工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：棕色土地（Brownfield）是指存在一定程度污染，因而没有得到充分利用的土地及地上的建筑物。成功再开发这些无人管理、脏乱、逐渐失去利用价值的棕色土地可以提高当地居民生活水平，美化当地环境，缓解城市用地紧张，促进当地的社会经济发展。棕色土地再开发是一个复杂的投资项目，它涉及到了社会、生态、环境等系统，蕴含了大量的不确定性和高风险性，要在不确定的环境中进行投资决策，需要一套有效合理的评估方法。传统的项目评估方法主要代表是现金流量折现法，它的优点在于考虑了时间价值，可以有效地评估短期、小型的投资项目，但是在评估具有高风险性、高不确定性的棕色土地再开发投资项目时，它忽略了项目投资决策的弹性，不能有效地处理项目开发过程中的不确定性，从而低估了项目的价值。实物期权法是现今企业决策分析领域中最重要的发展之一，它能够充分考虑到投资决策的弹性以及期权的价值。B-S期权定价模型假定，未来现金流入现值S和投资总成本X两个参数是确定的值，但是棕色土地再开发投资项目是高风险的、不确定的，，因此这样的假定是有有一定的局限性。在B-S期权定价模型的基础上，以棕色土地再开发项目的投资决策为研究对象，针对项目中未来现金流入现值和投资总成本的不确定性，结合模糊数学理论，引入模糊数建立了模糊实物期权定价模型。并通过案例，分别运用传统评估方法NPV和模糊实物期权法对其进行了投资决策分析，同时运用Crystal Ball风险评估软件进行蒙特卡洛模拟仿真。案例分析表明在不确定的投资环境下，相较于传统投资决策方法，使用模糊实物期权法进行投资决策，更具科学性，具有较大的理论意义和实用价值。
[Abstract]:Brown land (Brownfield) refers to land and buildings that are not fully used because of a certain degree of pollution. Gradually losing the value of brown land can improve the living standard of local residents, beautify the local environment, ease the shortage of urban land, and promote the local social and economic development. Brown land redevelopment is a complex investment project, which involves social, ecological, environmental and other systems, contains a lot of uncertainty and high risk, to make investment decisions in an uncertain environment. A set of effective and reasonable evaluation methods are needed. The traditional project evaluation method is mainly represented by the cash flow discounted method, which has the advantage of considering the time value, and can effectively evaluate short-term, small investment projects. However, in the evaluation of high-risk and high-uncertainty brown land redevelopment investment projects, it ignores the flexibility of project investment decisions, and can not effectively deal with the uncertainty in the process of project development. This underestimates the value of the project. The real option method is one of the most important developments in the field of enterprise decision analysis. It can fully consider the elasticity of investment decision and the value of option. B-S option pricing model assumption. The present value of future cash inflow S and the total cost of investment X are determined values, but brown land redevelopment investment projects are risky and uncertain. On the basis of B-S option pricing model, the investment decision of brown land redevelopment project is taken as the research object. In view of the uncertainty of the present value of future cash inflow and the total cost of investment in the project, a fuzzy real option pricing model is established by introducing fuzzy numbers in combination with fuzzy mathematics theory. The traditional evaluation method NPV and the fuzzy real option method are used to analyze the investment decision. At the same time, Monte Carlo simulation is carried out by using Crystal Ball risk assessment software. The case analysis shows that in the uncertain investment environment, compared with the traditional investment decision-making method. The fuzzy real option method is more scientific and has great theoretical significance and practical value.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F301.2;F830.91

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