不确定性条件下房地产企业的实物期权分析  

Study on Investment Decision of Real Estate Enterprises Based on Real Option

作　　者：洪慧慧 HONG Huihui(Anhui University of Technology,Ma'anshan 243000,China)

机构地区：[1]安徽工业大学管理科学与工程学院,安徽马鞍山243002

出　　处：《洛阳理工学院学报（自然科学版）》2020年第3期25-28,共4页Journal of Luoyang Institute of Science and Technology：Natural Science Edition

摘　　要：研究不确定性条件下房地产企业的实物期权分析方法,考虑到房地产企业投资具有连续性并符合均值回归过程,建立了项目价值服从均值回归的B-S期权模型,通过算例分析,运用matlab验证了此模型的可行性,并进行了仿真分析。研究结果表明:项目价值的回归速度与投资临界值成反比,项目价值的波动率与投资临界值成正比,建立的期权投资决策模型为投资商在进行房地产投资决策时提供一定的参考依据。The real options analysis method consider the real estate enterprise investment continuity and conform to the mean reversion process,therefore,the project value subject to mean reversion B-s option model is established.Finally,the feasibility of the model is verified with matlab through the case analysis.And the numerical simulation analysis is done.The research results show that the regression speed of the project value is inversely proportional to the critical value of investment,and the volatility of the project value are in direct proportion to the critical value of investment.The option investment decision model established in this paper provides certain reference basis for investors to make real estate investment decisions.

关 键 词：实物期权 房地产企业 投资决策 

分 类 号：F407[经济管理—产业经济]