【作者】 艾小莲；

【导师】 田立新；

【作者基本信息】 江苏大学 ， 管理科学与工程， 2009， 博士

【摘要】 近几年我国房地产市场变化莫测,房价、房贷利率起伏不定,加上房地产市场上的不确定性因素很多,因而房地产投资风险陡增。房地产的投资决策方法有许多种,现金流贴现技术(DCF)中的净现值法(NPV法)和内部收益率法(IRR法)不失为好的方法。但这些传统方法用于投资分析时很难量化管理的灵活性和企业投资价值的能力,容易导致决策的失误,因此不能科学地为决策者提供依据。房地产投资决策具有实物期权的特征,把实物期权方法引入到房地产投资开发中,能够最大限度地利用投资过程中的不确定性,扩大投资机会,提高房地产企业投资的抗风险能力和投资决策水平。由于实物期权的到期时间较长且不确定,无风险利率不是一成不变的,且决策者对贴现率的要求在时间上存在着差异,考虑到这些因素,本文利用Cox利率均衡模型与贴现函数对原有的Black-Scholes实物期权定价公式进行了修正,得到一个基于随机利率及时间偏好不一致的新的实物期权定价模型,并在后面的章节里给予了运用。一般的关于房地产投资的文章所指代的房地产投资方仅仅涉及到房地产开发商这一方。但根据房地产投资的涵义,它的当事方应该更广。本文把房地产投资涉及到的当事方扩大到三方,即房地产开发商(房产商)、购房者、银行。本文首先分析了房地产投资各自存在的风险,然后根据它们三方之间的关系,从博弈论和委托代理理论的角度给予了解释。再结合房地产投资中的实物期权特性来分析房地产开发商、购房者、银行应该怎么利用实物期权在房地产投资中做决策。房地产开发商、购房者、银行三方关系密切。房产商从银行贷款,进行土地购置、开发、建造房屋出售给购房者,这期间存在许多的风险,把房产商的这些行为分为投资决策期、建设前期、建设期、销售期和使用期等几个阶段分别考虑,系统分析这几个阶段的不同风险因素后,结合这几个阶段所具有的实物期权的特征,考虑采用实物期权方法来处理应对投资的不确定性,本文采用了Black-Scholes模型和二项式模型两种定价方法进行了案例分析。购房者从银行贷款,从房产商那购买房屋,这期间也存在许多的风险,在这部分内容里,本文分析了期房购买风险,以及由于利率变动、房价改变产生的还贷违约风险,还贷违约从提前还贷和断供的两种形式分别阐述。对于现实中的房产商的欺诈行径从博弈论的角度进行了分析解释,在考虑购房者与房产商是一种委托代理关系的基础上,建立了一个模型,得到购房者应在怎样的监督模式下才能激励房产商按合同办事。按照我国房地产的市场的规则,一般选好房子后要交纳一定的定金,这实际上赋予了购房者在以后一段期限内有选择权(或付剩余房款,或放弃定金),多少定金才是合理的,本文从实物期权的角度进行了分析。而按照我国现有规定,申请住房信贷的购房者在开始还贷后可以有几种选择,在贷款利率上升时,可以照常还贷或提前还贷,即贷款利率隐含期权,如何巧妙合理地利用利率中的隐含期权以获得利益最大化是文章的一个重要内容,本文对此给与了案例分析。银行发放贷款给房产商与购房者从而获利,这期间同样存在风险,也即信贷风险。本文分析了信贷风险的来源,并考虑了购房者违约-提前还贷给银行的不利之处,指出银行应该给予一定的处罚才能有效地管理和控制提前还贷风险,保持资本运营的稳定性。针对提前还贷,从博弈论的角度分析了购房者与银行的博弈,认为只要商业银行能够有效控制隐含期权的行权成本,就一定能够降低商业银行的利率风险。银行在贷款评审中也有风险,太严不好—这样可能会丧失一些优质客户,太松也不好—这样会使得银行的风险加大。合理的利用实物期权思维,在贷款评审中考虑到企业的实物期权,不失为一个好的办法。因为这样能避免短视性,尽量保留优质客户。贷款批准执行后,由于还贷人提前还贷造成资金运用安排紊乱对银行来说也是一个大问题。在实物期权下,怎样设定贷款利率,对提前还贷给予怎样的罚金,以便银行获得最大利润。本文在假设利率服从Cox模型的基础上,考虑了利率市场化下银行的最优贷款利率以及针对不诚实借款人的罚金设置。更多还原

【Abstract】 In recent years, China’s real estate market is unpredictable. and house prices, mortgage interest rates fluctuate frequently. Coupled with the uncertainty of the real estate market, the risk of real estate investment increased sharply. There are many ways in real estate investment decisions, the net present value method (NPV method) and the internal rate of return method (IRR method) of Discounted cash flow techniques (DCF) may well be good ways. However, these traditional methods used for investment analysis is difficult to quantify the management flexibility and the capacity of the value of business investment which will easily lead to mistakes in decision-making, so it is not a scientific basis for decision-makers. Real estate investment decisions have many real options characteristics, the introduction of the real options approach to the real estate investment and development may maximize the use of the uncertainty in the investment process, expand investment opportunities, and improve the investment level of the real estate enterprises in the anti-risk capability and decision-making.Considering the expiration time of real option not determined, risk-free interest rate not static, and policy makers existing individual differences, then taking into account these factors, we use Cox models and the discount interest rate function to amend the original Black-Scholes option pricing model and get a new kind option pricing model based on the stochastic interest rates and inconsistent preference. We use the new model in the section behind.Generally, real estate investors in articles about real estate investments only involved real estate developers. However, according to the meaning of real estate investment, it should include more parties. In this paper, the real estate investment involves tripartite, that is, real estate developers, buyers, banks. First we analyze the risk of their own, then in accordance with the tripartite relationship among them, explain the point of view given from game theory and principal-agent theory. Combined with the characteristics of real options with real estate developers, buyers, banks, we suggest they how to make investment decision by the use of real options.Real estate developers, buyers, banks have close relationship among themselves. Real estate developers get loans from bank, buy the land, then develop it and sell the construction of housing to buyers, there exists much risk. Considering separately the process of pre-construction, construction period, sales period and the use of period, we analyze their different risk factors. Combined with some stage of the characteristics of real options, we use the Black-Scholes model and the binomial pricing model to deal with the uncertainty.Buyers get loans from banks, buy houses from the real estate developers. There exists much risk at this part. This paper analyzes the risks of purchasing pre-house, as well as the defaults risk of loan repayment because of changes in interest rates and change of house prices, loan defaults are divided into two forms-early repayment and default. From the perspective of game theory, we explain the acts of fraud of real estate developers. Considering a principal-agent relations between the purchaser and real estate developers we establish a model, and discuss what monitoring mode buyers should get to make real estate developers incentive to act in accordance with the contract. In accordance with the rules in China’s real estate market, buyers must pay the deposit they after they elect their satisfactory house, which in fact has given buyers for some period of time in the future the right to choose (to pay the remainder of payments, or to give up the deposit). Whether the number of deposit is reasonable, this article analyzes it from the perspective of real options. In accordance with the existing provisions of our country, at the beginning, the buyers having applied for housing loans can have several repayment options, How to skillfully and reasonably use the options in interest rates for maximizing the benefits are an important part of the article, and a case study is given here.Banks make loans to home buyers and real estate developers to make profits, there exists much risk during this period, namely credit risk. This paper analyzes the sources of credit risk, takes into account the disadvantages the made by the default of home buyers - pay the bank loan in advance and then points out that the bank should give much punishment to manage effectively and control the risk of early repayment, and then maintain the stability of capital . For repayment in advance, we analyze the game between the buyers and the banks from the perspective of game theory. If commercial banks exert effective control on the options costs, the commercial banks may reduce the interest rate risk. Bank also has risk in loans assessment, too stern is not well - this may lose a number of high-quality customers, too loose is not well either - it will lead banks have more risk. Reasonable use of real options is a good way. Since this will avoid short-sighted, and then retain quality customers. Repayment in advance is a big problem for banks because it may disorder the use arrangements of funds. On the basis of the real options, how to set lending rates, and what penalty should be given for the repayment in advance in order to make most profit is an important content of this paper. On the assumption that interest rates are based on the Cox model, under the market-oriented interest rate we take into account banks’ optimal loans interest rates and fine setting for dishonest borrowers.更多还原