个人房产投资的相机策略及其可达性:一个最优停时分析框架  

Timing Choice and Passage Problem of Personal Real Estate Investment within the context of the Optimal Stopping Time Analysis Framework

作　　者：蔡晓钰[1] 陈忠[1] 蔡晓东[2] 

机构地区：[1]上海交通大学安泰管理学院 [2]北京广播电视大学门头沟分校

出　　处：《数量经济技术经济研究》2005年第3期88-96,共9页Journal of Quantitative & Technological Economics

基　　金：高等学校博士点科研基金资助项目(20020248020)资助。

摘　　要：已有的实物期权框架下房地产投资方面的研究长期以开发商为建模对 象,却忽视了对个人房地产投资者的建模研究。本文在房地产价格随机条件下对出 售房产的投资问题进行了建模,并基于最优停时理论求解了该模型,给出了相关结 论并明确了投资规则中所蕴含的期权价值,同时对结果做了静态与敏感性分析。特 别地,我们也着重研究了已有文献中有所忽视的可达性问题。结果表明,较小的临 界值意味着较小的平均可达时间或较大的可达性几率。The existing literatures of real estate investment under real options' framework have been drawn attention to the modeling of the developers but not focused on the personal real estate investment. This paper models the ignored problem under the price of real estate driven by GBM and solves the problem through the optimal stopping time theory with a series of conclusions and explicit rule of investment. We, simultaneously, make a comparative static analysis as well as sensitivity analysis for the results.Especially, we pay more attention to the passage problem of the investors, ig-noredin existing literatures we focus on the problem. The result shows that the less of the critical value is, the less the first average passage time and the more probbility of access to it.

关 键 词：房地产 投资 最优时机 最优停时 实物期权 

分 类 号：F830.59[经济管理—金融学]