多期土地開發評價:序列複合選擇權之通解

Abstract

於過去的文獻中，土地開發計畫案主要是利用折現現金流量模型（discounted cash flow model）來做評價以及可行性評估。由於，折現現金流量模型具有不可延遲性與可回復性之假設，與現實狀況有所出入。然而，土地開發投資相當複雜且市場不確定性極高，而折現現金流量法無法充分解釋市場不確定性所造成的投資彈性。加上，在各期的土地開發過程中，投資人除了保留投資彈性，還必須審慎處理特定資產(dedicated assets)投資等影響投資風險的相關問題，故近來諸多學者致力於實質選擇權之研究。因此，本研究以私部門的開發商為實施者，針對多期土地開發獨特的開發流程特性，利用實質選擇權概念，推導出序列複合選擇權評價模型。 以往的土地開發可分為兩種類型，一般開發與分階段開發。在分階段開發過程中，在進入下一階段前理性的投資者會先行計算選擇處分土地或是進行開發作業，每進入一個階段都有這樣的選擇權價值。因此，本研究考量分期開發之專案建設獨特的工程特性，以及開發過程中之影響因素，在風險中立的機率測度下從Black-Scholes (1973)單層選擇權評價模型的概念出發，完成基本模型的參數設定。以Geske (1979)的兩層複合選擇權觀點切入，參考Lajeri - Chaherli (2002)之兩層複合買權評價模型，利用平賭法(martingale method)推導多期序列複合買權(Multifold Sequential Compound Call Options)評價模型通解。同時，每階段的評估過程中土地價值為重要的參數，並針對土地價值進行敏感度分析，處理複雜的金融計算問題，開發多期專案開發投資評估軟體，以利實務應用。

In early researches, the discounted cash flow (DCF) model is usually used for valuation and feasibility assessment of land development. Because, discounted cash flow model can not be delayed reply of the assumptions and reality differ. However, land development and investment is quite complex and market uncertainty is extremely high, and the discounted cash flow method can not fully explain the investment elasticity caused by the market uncertainty. Plus, in each of the land development process, investors in addition to retain investment flexibility, but also need to carefully deal with the particular asset (dedicated assets) Investment and other related issues affecting the investment risk, so recently many scholars working on the real options. Therefore, this study mainly private sector developers for the perpetrators, much of the land development for the unique characteristics of the development process, using the concept of the real option, deduced sequence complex evaluation model.