商品房价格不确定条件下房地产企业投资决策的期权模型研究  

Study on the Option Model of Investment Decision-making in Real Estate Enterprises under Uncertainty of Commercial Housing Price

作　　者：曾力勇[1] 陈收[2] 裘亚峥[3] 

机构地区：[1]长沙理工大学管理学院,湖南长沙410067 [2]湖南大学工商管理学院,湖南长沙410082 [3]中南大学数学科学与计算技术学院,湖南长沙410075

出　　处：《经济管理》2007年第12期56-61,共6页Business and Management Journal ( BMJ )

基　　金：国家社会科学基金(05BJY010);湖南省软科学研究计划(2006zk3054);湖南省教育厅(湘教通[2006]92号)资助项目。

摘　　要：随着我国市场改革开放的进一步深入,市场竞争日益激烈,房地产投资受市场不确定性因素影响更加敏感。本文首先将房地产项目的固有价值进行分解,将不确定性建立在房地产投资产品——商品房的价格之上,利用美式永续期权定价方法建立相应的旁地产企业投资决策模型。本文还对这一模型进行了数值分析,分析表明,房地产企业投资期权价值以及最比执行期权时的临界价格与其相应的商品房价格的波动率成正向相关关系。With the further reform and opening up of the market, the competition turns to be more and more fierce, and the real estate investment become more sensitive to uncertain factors of the real estate market. This paper firstly decomposes the the inherent value of the real estate item, building uncertainty up on the commercial housing price, and then the decision-making model for real estate investment can be established.with the methods of the Perpetual American Option pricing. Finally, a numerical analysis is discussed about the mode. The result of such an analysis indicates that positive correlation is in existence between the real estate enterprise investment option value and stochastic volatility of commercial housing price, so does the real estate enterprise option investment critical prices at the best investment point.

关 键 词：房地产 不确定性 商品房价格 实物期权 投资决策 

分 类 号：F830.59[经济管理—金融学]