基于多资产期权的土地资源组合开发优化研究  

Research on Optimized Land Resources Combination and Development Based on Multi-asset Options

作　　者：赵永生[1] 张文娟[2] 屠梅曾[1] 

机构地区：[1]上海交通大学管理学院,上海200052 [2]同济大学经济管理学院,上海200092

出　　处：《中国人口·资源与环境》2006年第6期108-112,共5页China Population,Resources and Environment

基　　金：国家自然科学基金应急课题"房地产发展与金融的关系"(70341015)

摘　　要：基于土地供应动态价格存在不确定性和期末土地资源的市场推广具有灵活性,土地资源的储备开发价值包括初始投资和期末看涨期权价值。根据欧式多资产期权方法,通过把收益的算术平均近似表达为几何平均的形式,多维问题可以转换为一维问题。参照一篮子期权的几何平均B-S期权定价模型,给出了基于实物期权的多项土地资源储备与开发的算术平均收益的夏普比率优化目标函数。数值计算表明,土地资源配置比例越是均匀,土地储备的期权价值越小。期权价值与配置比例反映为非线性关系。The multi-asset land resources value includes the beginning cost and the end-time European call options, with the uncertainty of dynamic land supplying price and the flexibility choice of land sale on the market or not. According to the multi-asset options method, expressing the arithmetic average value as the geometric average value approximately, the multi-dimension problem can convert to the single dimension problem. The objective Sharpe ratio function of land development arithmetic average value portfolio is deduced based on the geometric average B-S model of the basket options in the paper. The example result shows that the more even the resources comparison ratio, the smaller the real options value is. The arithmetic average value of multi-assets is not in brief the arithmetic average value. The behavior of real options value and property ratio is nail-linear.

关 键 词：土地开发 组合资产 多资产期权 夏普比率 

分 类 号：X37[环境科学与工程—环境工程] F830.59[经济管理—金融学]