In this study,we develop and empirically test a valuation model for a commonly encountered option in office leases:a tenant’s option to renew at future market rent(a fair market value)with lease termination as the ma...In this study,we develop and empirically test a valuation model for a commonly encountered option in office leases:a tenant’s option to renew at future market rent(a fair market value)with lease termination as the maturity date.The model integrates decision analysis with real options analysis and market risk with private risks.“Option value”is defined as the private value of the option to either party pre-contract,while“option price”assumes a fair agreement between transacting parties and can be positive(rental premium paid)or negative(rental discount offered).Without manifest expectations,an analysis of a sample of office leases supports the model’s logic with price estimates in a practical range.The tenants’option price/value is shown to have a negative relationship with the original/renewal lease term;conversely,the landlords’option value is positively related to the original/renewal term.Comparative analyses show that transaction costs have a positive effect on tenants’option value and on prices,while vacancy costs and the vacancy period are both positively related to the landlords’option value and negatively related to price.Market rent is found to have a negative relationship with option price.Overall,this study provides a theoretical analysis and empirical tests of the value of a real option that allows option holders to renew/extend their contracts at a fair market value.展开更多
Under the appropriate hypotheses subject to the unknown function and the free term, by means of our Lemma, we prove the rationality of order at x = ∞ on two sides for the characteristic singular integral equations wi...Under the appropriate hypotheses subject to the unknown function and the free term, by means of our Lemma, we prove the rationality of order at x = ∞ on two sides for the characteristic singular integral equations with solutions having singularities of higher order on the real axis X. We transform the equations into solving equivalent Riemann boundary value problems with solutions having singularities of higher order and with additional conditions on X. The solutions and the solvable conditions for the former are obtained from the latter.展开更多
Let (Ω,(?), P) be a probability space, ((?)_n) an increasing sequence of σ-algebras contained in (?). Let T be the set of all bounded stopping time. A realvalued integrable adapted sequence (x_n,(?)_n) is called a c...Let (Ω,(?), P) be a probability space, ((?)_n) an increasing sequence of σ-algebras contained in (?). Let T be the set of all bounded stopping time. A realvalued integrable adapted sequence (x_n,(?)_n) is called a class of (B^+) [(B^-), (B)],if there is it is called GWT (GBT,GFT), if for any ε>0,展开更多
基金research grants(P0030199 and P0038209)from the Hong Kong Polytechnic University。
文摘In this study,we develop and empirically test a valuation model for a commonly encountered option in office leases:a tenant’s option to renew at future market rent(a fair market value)with lease termination as the maturity date.The model integrates decision analysis with real options analysis and market risk with private risks.“Option value”is defined as the private value of the option to either party pre-contract,while“option price”assumes a fair agreement between transacting parties and can be positive(rental premium paid)or negative(rental discount offered).Without manifest expectations,an analysis of a sample of office leases supports the model’s logic with price estimates in a practical range.The tenants’option price/value is shown to have a negative relationship with the original/renewal lease term;conversely,the landlords’option value is positively related to the original/renewal term.Comparative analyses show that transaction costs have a positive effect on tenants’option value and on prices,while vacancy costs and the vacancy period are both positively related to the landlords’option value and negatively related to price.Market rent is found to have a negative relationship with option price.Overall,this study provides a theoretical analysis and empirical tests of the value of a real option that allows option holders to renew/extend their contracts at a fair market value.
基金Supported by the National Natural Science Foundation of China (10471107)the Specialized Research Fund for the Doctoral Program of Higher Education of China (20060486001)
文摘Under the appropriate hypotheses subject to the unknown function and the free term, by means of our Lemma, we prove the rationality of order at x = ∞ on two sides for the characteristic singular integral equations with solutions having singularities of higher order on the real axis X. We transform the equations into solving equivalent Riemann boundary value problems with solutions having singularities of higher order and with additional conditions on X. The solutions and the solvable conditions for the former are obtained from the latter.
文摘Let (Ω,(?), P) be a probability space, ((?)_n) an increasing sequence of σ-algebras contained in (?). Let T be the set of all bounded stopping time. A realvalued integrable adapted sequence (x_n,(?)_n) is called a class of (B^+) [(B^-), (B)],if there is it is called GWT (GBT,GFT), if for any ε>0,
