有限经济寿命视角下房地产投资决策的期权博弈分析

Option Game Theory on Real Estate Investment Decision under Finite Project Life

考虑房地产投资项目的有限经济寿命,在非永续收益流前提下建立对称双头期权博弈模型。重点分析了项目经济寿命(不同类型房地产其经济寿命不同)对开发商项目价值及其投资阈值的影响,以及项目经济寿命对投资阈值与波动率之间相关性的影响,得到一些有意义的结论,并给出了经济解释。

This paper rebuilds the option-game approach to real estate investment under finite project life and imperpetual revenue stream. We find that, in contrast to the existing theory the effect of uncertainty on the investment trigger is non-monotonic, and that investments may be accelerated by increased uncertainty. The paper attempts to make economic explanations for these effects.