The pricing of real options in discrete time models: Another story of the value of waiting to invest

Yuichiro Kawaguchi, Kazuhiro Tsubokawa

研究成果: Article査読

4 被引用数 (Scopus)

抄録

This paper proposes a discrete time real options model with time-dependent and serial correlated return process for a real estate development problem with waiting options. Based on a Martingale condition, the paper claims to be able to relax many unrealistic assumptions made in the typical real option pricing methodology. Our real option model is a new one without assuming the return process as “Ito Process”, specifically, without assuming a geometric Brownian motion. We apply the model to the condominium market in Tokyo metropolitan area in the period 1971-1997 and estimate the value of waiting to invest in 1998-2007. The results partly provide realistic estimates of the parameters and show the applicability of our model.

本文言語English
ページ(範囲)9-34
ページ数26
ジャーナルJournal of Property Investment & Finance
19
1
DOI
出版ステータスPublished - 2001 2 1
外部発表はい

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Finance
  • Economics, Econometrics and Finance(all)

フィンガープリント 「The pricing of real options in discrete time models: Another story of the value of waiting to invest」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル