教師資料查詢 | 類別: 期刊論文 | 教師: 葉怡成 YEH, I-CHENG (瀏覽個人網頁)

標題: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. and 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
語言英文
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
國別英國
公開徵稿
出版型式,電子版,紙本
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