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| 随机条件下房地产开发的最优时机选择及其可达性问题研究 | |
| 引用本文： | 蔡晓钰,陈忠,蔡晓东.随机条件下房地产开发的最优时机选择及其可达性问题研究[J].管理工程学报,2007,21(1):12-19. |
| 作者姓名： | 蔡晓钰 陈忠 蔡晓东 |
| 作者单位： | 1. 兴业银行上海分行同业部,上海,200041 2. 上海交通大学管理学院,上海,200052 3. 北京广播电视大学,北京,100081 |
| 基金项目： | 国家自然科学基金 , 高等学校博士科研基金 |
| 摘 要： | 实物期权框架下的房地产投资相关研究长期忽视了对投资时机可达性问题的研究、忽视了对收益流与成本流相关性问题的探讨.有鉴于此,本文在房地产价格与建安成本二重随机性以及二者具有相关性的条件下,运用期权分析技术建模研究了房地产开发商的最优时机选择问题及最优时机的可达性问题.同时,文章对研究结果作了可达性分析、比较静态分析、数值分析、经济含义分析与政策含义分析,并对结论做了定性的实证检验. |
| 关 键 词： | 房地产 开发时机 实物期权 首次可达时间方法 |
| 文章编号： | 1004-6062(2007)01-0012-08 |
| 修稿时间： | 2004年9月19日 |
Research of the Optimal Time to Develop and Its' Passage Problem for Real Estate Developers under the Stochastic Conditions |
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| CAI Xiao-yu,CHEN Zhong,CAI Xiao-dong.Research of the Optimal Time to Develop and Its'''' Passage Problem for Real Estate Developers under the Stochastic Conditions[J].Journal of Industrial Engineering and Engineering Management,2007,21(1):12-19. | |
| Authors: | CAI Xiao-yu CHEN Zhong CAI Xiao-dong |
| Abstract: | The first passage time problem and the relativity between two types of uncertainty of cash follow have long been ignored in the existing researches about real estate investment under real options.The two defects makes the existing contributions stray away from realistic world.Considering those problems,the author investigates them through utilizing the real option pricing technique.In the paper,by using various explanatory ways such as economic implication analysis,comparative static analysis,first-passage-time analysis,numerical analysis,qualitative empirical analysis and policy implication analysis,this paper try to find inner rule,implicit economic explanation and possible application value from the models. |
| Keywords: | real estate timing of development real options the first passage time approach |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |