發(fā)布時(shí)間：2018-01-28 00:30

  本文關(guān)鍵詞： 房地產(chǎn)投資決策 實(shí)物期權(quán) Black-Scholes模型 蓋斯克模型 模糊數(shù)學(xué)　出處：《西安建筑科技大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：房地產(chǎn)業(yè)具有關(guān)聯(lián)度高、帶動(dòng)力強(qiáng)的特點(diǎn),是我國(guó)國(guó)民經(jīng)濟(jì)增長(zhǎng)的支柱性產(chǎn)業(yè)。然而,房地產(chǎn)開(kāi)發(fā)又是一項(xiàng)風(fēng)險(xiǎn)性較大的活動(dòng),尤其是大型房地產(chǎn)項(xiàng)目,具有投資數(shù)額大、開(kāi)發(fā)周期長(zhǎng)、回收期長(zhǎng)、不確定性較高等特點(diǎn),其成功與否主要取決于在每一個(gè)開(kāi)發(fā)階段所做出的決策的準(zhǔn)確程度。目前,國(guó)內(nèi)的房地產(chǎn)企業(yè)仍主要采用傳統(tǒng)DCF(現(xiàn)金流折現(xiàn))法進(jìn)行投資決策,這對(duì)于跨區(qū)域的、多階段滾動(dòng)開(kāi)發(fā),具有較高不確定性的大型房地產(chǎn)開(kāi)發(fā)項(xiàng)目而言,就存在著很多缺陷。傳統(tǒng)DCF投資決策方法未考慮投資的不可逆性、管理者決策的靈活性以及關(guān)聯(lián)項(xiàng)目所帶來(lái)的戰(zhàn)略?xún)r(jià)值等因素,因而可能會(huì)低估了大型房地產(chǎn)項(xiàng)目的真實(shí)價(jià)值。實(shí)物期權(quán)是基于金融期權(quán)理論而衍生的一種新型投資決策方法,它的主要特點(diǎn)就是考慮了投資決策中的靈活性、管理的柔性,能夠較好地處理房地產(chǎn)開(kāi)發(fā)過(guò)程的不確定性因素帶來(lái)的投資機(jī)會(huì)價(jià)值,可以彌補(bǔ)傳統(tǒng)決策方法的不足,進(jìn)而提高投資決策的準(zhǔn)確性和科學(xué)性,具有較大的實(shí)用價(jià)值。 本文回顧和比較了傳統(tǒng)投資決策方法、實(shí)物期權(quán)基本理論與方法,突出了實(shí)物期權(quán)方法在項(xiàng)目投資決策中的優(yōu)越性。通過(guò)對(duì)大型房地產(chǎn)項(xiàng)目進(jìn)行實(shí)物期權(quán)特性分析,將模糊數(shù)學(xué)思想引入到傳統(tǒng)的實(shí)物期權(quán)模型中來(lái),對(duì)模型中的部分輸入變量進(jìn)行模糊化處理,根據(jù)傳統(tǒng)實(shí)物期權(quán)在房地產(chǎn)投資決策中的應(yīng)用,運(yùn)用梯形模糊數(shù)學(xué)的方法,結(jié)合大型房地產(chǎn)項(xiàng)目的期權(quán)特性,分別構(gòu)建了模糊實(shí)物期權(quán)模型和模糊復(fù)合實(shí)物期權(quán)模型,并引用期望值方法計(jì)算期權(quán)的價(jià)值,消除了傳統(tǒng)期權(quán)計(jì)算結(jié)果的模糊性,以更為科學(xué)地運(yùn)用實(shí)物期權(quán)方法進(jìn)行投資決策。最后以西安市某大型房地產(chǎn)項(xiàng)目為例,運(yùn)用模糊實(shí)物期權(quán)和模糊復(fù)合期權(quán)進(jìn)行項(xiàng)目的投資決策,分別計(jì)算了延遲期權(quán)和分階段投資復(fù)合期權(quán),驗(yàn)證了模糊實(shí)物期權(quán)方法相對(duì)更為貼近房地產(chǎn)投資實(shí)際,從而更好地為房地產(chǎn)企業(yè)投資者提供決策參考。 論文針對(duì)房地產(chǎn)投資決策方法的改進(jìn)問(wèn)題進(jìn)行深入研究,提出了模糊實(shí)物期權(quán)方法,能夠較準(zhǔn)確評(píng)價(jià)房地產(chǎn)投資項(xiàng)目?jī)r(jià)值,在一定程度上解決房地產(chǎn)投資領(lǐng)域的不確定性問(wèn)題,量化了投資活動(dòng)中的投資機(jī)會(huì)與經(jīng)營(yíng)柔性的期權(quán)價(jià)值,使實(shí)物期權(quán)定價(jià)更貼近實(shí)際,從而為房地產(chǎn)開(kāi)發(fā)企業(yè)決策者提供參考依據(jù)。
[Abstract]:The real estate industry has the characteristics of high correlation and strong driving force, and it is the pillar industry of the national economic growth of our country. However, the real estate development is a risky activity, especially the large-scale real estate project. It has the characteristics of large amount of investment, long development period, long payback period, high uncertainty and so on. Its success or not mainly depends on the accuracy of the decision made in each stage of development. At present. Domestic real estate enterprises still mainly use the traditional DCF (discounted cash flow) method to make investment decisions, which is for large-scale real estate development projects with high uncertainty and multi-stage rolling development across regions. The traditional DCF investment decision-making method does not take into account the irreversibility of investment, the flexibility of managers' decision-making and the strategic value brought by related projects. As a result, the real value of large real estate projects may be underestimated. Real option is a new investment decision method derived from the financial option theory. Its main feature is to consider the flexibility in investment decision-making. The flexibility of management can deal with the investment opportunity value brought by the uncertain factors in the process of real estate development, can make up for the shortcomings of the traditional decision-making methods, and then improve the accuracy and scientific nature of the investment decisions. It has great practical value. This paper reviews and compares the traditional investment decision methods, the basic theories and methods of real options. This paper highlights the superiority of real option method in project investment decision. By analyzing the real option characteristics of large real estate projects, the fuzzy mathematics theory is introduced into the traditional real option model. According to the application of traditional real options in real estate investment decision-making, the paper applies the trapezoidal fuzzy mathematics method to combine the option characteristics of large real estate projects. The fuzzy real option model and the fuzzy compound real option model are constructed, and the expected value method is used to calculate the value of the option, which eliminates the fuzziness of the traditional option calculation results. Finally, taking a large real estate project in Xi'an as an example, using fuzzy real option and fuzzy compound option to make investment decision. The delay option and the phased investment compound option are calculated respectively, and the fuzzy real option method is verified to be more close to the real estate investment practice, thus providing a better decision reference for the real estate enterprise investors. In this paper, the improvement of the real estate investment decision method is studied in depth, and the fuzzy real option method is put forward, which can evaluate the value of real estate investment project more accurately. To some extent, it solves the uncertainty problem in the field of real estate investment, quantifies the investment opportunity and the flexible option value in the investment activities, and makes the real option pricing closer to the reality. Thus provides the reference basis for the real estate development enterprise decision maker.
【學(xué)位授予單位】：西安建筑科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F299.233.4

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