Although, there are numerous empirical studies that explore option pricing on vacant land, there is hardly such study based on a South African case study. Moreover, phenomena observed in certain countries are not alwa...Although, there are numerous empirical studies that explore option pricing on vacant land, there is hardly such study based on a South African case study. Moreover, phenomena observed in certain countries are not always prevalent due to different economic circumstances. This case study explores option value emerging on vacant land due to office building in the Northern Suburbs of Johannesburg, South Africa （ZA） because land value ＂increased＂ in ＂price＂. Since late 1990s, Northern Suburbs are one of the most expensive areas of Johannesburg. Samuelson-McKean （1965） model is used to calculate option value on vacant land （Geltner ＆ Miller, 2001） and the model is used to estimate option values, first, when there are no costs, then when total costs are taken into account and lastly, when improvements are taken into account. The results are synonymous with option pricing theory （OPT） in sense that costs and land improvements increase option value; however, the impact of fixed costs on option value is debatable as fixed costs lead to an increase in option value while according to OPT they should not as fixed costs could easily be ＂hedged＂.展开更多
This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization framework.Under the assumption that the option can be ...This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization framework.Under the assumption that the option can be continuously traded without friction just as the stock,a dynamic relationship between their optimal positions is derived by using the stochastic dynamic programming techniques.The dynamic option pricing equations are also established.In particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac formula.This paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.展开更多
文摘Although, there are numerous empirical studies that explore option pricing on vacant land, there is hardly such study based on a South African case study. Moreover, phenomena observed in certain countries are not always prevalent due to different economic circumstances. This case study explores option value emerging on vacant land due to office building in the Northern Suburbs of Johannesburg, South Africa （ZA） because land value ＂increased＂ in ＂price＂. Since late 1990s, Northern Suburbs are one of the most expensive areas of Johannesburg. Samuelson-McKean （1965） model is used to calculate option value on vacant land （Geltner ＆ Miller, 2001） and the model is used to estimate option values, first, when there are no costs, then when total costs are taken into account and lastly, when improvements are taken into account. The results are synonymous with option pricing theory （OPT） in sense that costs and land improvements increase option value; however, the impact of fixed costs on option value is debatable as fixed costs lead to an increase in option value while according to OPT they should not as fixed costs could easily be ＂hedged＂.
基金supported by the National Basic Research Program of China(973 Program)under Grant No.2007CB814901the National Natural Science Foundation of China under Grant Nos.11101215 and 61304065the Program of Natural Science Research of Jiangsu Higher Education Institutions of China under GrantNo.12KJB110011
文摘This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization framework.Under the assumption that the option can be continuously traded without friction just as the stock,a dynamic relationship between their optimal positions is derived by using the stochastic dynamic programming techniques.The dynamic option pricing equations are also established.In particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac formula.This paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.
