序列複式可展延選擇權 - 都市更新流程之應用

Abstract

藉由我國都市更新法令與機制推動所賦予之延長期限權利，建立適合我國都市更新流程之模型與評價方式，用以分析都市更新流程所能提供延期權利之最低經濟價值。都市更新事業，評估的投資結果相當複雜且市場不確定性極高，由於折現現金流量法(Discounted Cash Flow，DCF)無法充分解釋市場不確定性所造成的投資彈性，所以，將利用實質選擇權概念進行評估。 Longstaff 於西元1990 年針對實務上擁有選擇權性質的金融合約和條件求償證劵（contingent claims）可將到期日展延的問題，延伸出一封閉解模型。本研究將從Longstaff 可展延選擇權的觀點切入，利用平賭法（martingale method），假設在風險中立（risk-neutral）的情況下，折現未來期望現金流量，推導出(Sequential compound extendible option)序列複合可展延選擇權評價模型，並且，針對多階段都市更新獨特的開發流程特性，分析延期彈性所造成的經濟價值變化。

According to the urban regeneration policy, this study successful formulated sequential compound extendible option (SCEC) model to evaluate the issue of extendible right. Recently, a generalized valuation model for n-fold sequential compound call/put options is simplified for the evaluation of multi-phase complex projects for which the traditional DCF project evaluation method fails to explicitly incorporate the flexibility of investment decision, so this study uses the concept of real options to assess. Under the martingale method (martingale method), risk neutral(risk-neutral), this study derives SCEC model based on the ideas of Longstaff closed-form expressions for options that can extend and analyzes the economic value created by multi-phase extendible development produces of urban regeneration.