基于实物期权理论的房地产投资决策模型研究及应用

发布时间：2018-03-09 22:03

本文选题：实物期权　切入点：房地产投资决策　出处：《重庆交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：当前世界经济局势十分动荡，国内又相继出台了“限贷限购”等针对房地产市场的调控政策，房地产投资环境开始变得异常复杂并附有动态性。动态、不可预测的新环境要求房地产开发企业的经营决策必须灵活，并为企业未来发展提供增长机会。然而，目前房地产投资者普遍采用的投资决策方法NPV法忽略了市场不确定性以及管理灵活性所蕴含的价值。实物期权理论在上世纪80年代末开始被广泛的应用于价值计算、投资决策以及动态管理等领域，其考虑了房地产市场中的不确定性、管理的柔性以及项目战略投资价值，弥补了传统方法的不足，为投资者进行投资决策提供了一种新的理论和方法。本文以不确定环境中的房地产项目投资决策为研究对象，通过系统的介绍国内外相关研究成果，进而研究房地产项目投资决策的期权问题。首先，分析了传统房地产投资决策方法，在保留NPV法合理内容的基础上指出了其忽视了房地产投资中管理的柔性以及不确定性所蕴含的价值，从而引出期权理论并分析了实物期权的特征及适用性；其次，结合房地产项目投资的特殊性，根据期权定价理论，运用风险中性估价法在B-S模型的基础上建立了房地产投资决策期权定价模型，改进了传统二叉树模型的计算方法和步骤，着重分析了房地产投资决策期权模型的相关参数，建立了期权模型的应用框架，比较分析了传统方法与实物期权方法，指出实物期权方法的优越性；最后，，以实际项目为案例，分别运用NPV法和实物期权法对其进行投资分析，表明实物期权方法在不确定性较大的房地产项目投资决策中更为有效，最后对期权模型的主要参数进行了敏感性分析，从而为投资者进行房地产项目的投资决策提供了更为科学的决策依据，具有较大的实用价值。
[Abstract]:At present, the world economic situation is very turbulent, and the domestic regulation and control policies for the real estate market, such as "restricting loans and limiting purchases", have been issued one after another. The real estate investment environment is beginning to become extremely complex and dynamic. The unpredictable new environment requires that real estate development enterprises must be flexible in their business decisions and provide growth opportunities for their future development. At present, NPV method, which is widely used by real estate investors, ignores the value of market uncertainty and management flexibility. Real option theory has been widely used in value calculation since the end of -20s. In the fields of investment decision and dynamic management, the uncertainty in the real estate market, the flexibility of management and the value of project strategic investment are taken into account to make up for the shortcomings of traditional methods. It provides a new theory and method for investors to make investment decisions. This paper takes the investment decision of real estate project in uncertain environment as the research object, and then studies the option problem of the investment decision of real estate project by systematically introducing the related research results at home and abroad. This paper analyzes the traditional real estate investment decision-making method, and points out that the traditional real estate investment decision-making method neglects the flexibility of management and the value of uncertainty on the basis of retaining the reasonable content of NPV method. Then it leads to the option theory and analyzes the characteristics and applicability of real options. Secondly, combining with the particularity of real estate project investment, according to the option pricing theory, On the basis of B-S model, this paper establishes a real estate investment decision option pricing model by using risk neutral valuation method, improves the calculation method and steps of traditional binary tree model, and analyzes the relevant parameters of real estate investment decision option model. The application framework of the option model is established, the traditional method and the real option method are compared and analyzed, and the superiority of the real option method is pointed out. Finally, taking the actual project as an example, the investment analysis is carried out by using NPV method and real option method respectively. It is shown that the real option method is more effective in the investment decision of real estate projects with greater uncertainty. Finally, the sensitivity analysis of the main parameters of the option model is made. Therefore, it provides a more scientific basis for investors to make investment decisions on real estate projects, which is of great practical value.
【学位授予单位】：重庆交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F293.3;F224

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