Evaluating real estate development project with Monte Carlo based binomial options pricing model
學年 107
學期 2
出版（發表）日期 2019-05-19
作品名稱 Evaluating real estate development project with Monte Carlo based binomial options pricing model
作品名稱（其他語言）
著者 Yeh, I. C.; Lien, C. H.
單位
出版者
著錄名稱、卷期、頁數 Applied Economics Letters 27(4), p.307-324
摘要 This paper proposes three evaluation models for evaluating the value of strategic waiting of real estate development project. In Model 1, the ratio of land cost to total real estate sales in period (t) and period (t+1) is uncorrelated (random). In Model 2, the ratio is unchanged (constant). Model 3 integrates Models 1 and 2 with the “land value persistence factor”. The larger the factor, the more the land cost tends to consider only the previous land price. This study uses the Binomial Option Pricing Model and Monte Carlo Simulation hybrid method to solve these three models. In addition, this research also proposes a method for estimating the net present value of project expansion on the time axis. The results show that five main factors influencing the expected value of the option value are the real estate price rate of change, present value of total real estate sales, duration, land value persistence factor, and present value of land. Regardless of the land value persistence factor, the longer the time, the expected value of the option value tends to increase. However, when the land value persistence factor is larger, the expected value of the option value increases more.
關鍵字 real estate development;real option;binomial option pricing model (BOPM);Monte Carlo simulation
語言 en
ISSN
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 I-Cheng Yeh
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/119458 )

SDGS 尊嚴就業與經濟發展