[2013년 제 2차] An Investment Option with Multiple Assets
작성자 : 관리자
조회수 : 853
게시일 :
2013-06-05
This paper builds a real options model with multiple underlying asset, each of which represents a real property. In particular, an investment project that this paper suggests is a real estate development project. In real estate development projects, real estate developers build heterogeneous but correlated projects; each property is unique but its value is likely to vary in relation to the values of nearby properties. Taking account of the heterogeneity of properties and relationships between them, the paper revises the value of an investment(or development) option as derived in previous studies. Under short-sale constraints, the value of a development option increases with high correlation between properties and such an option reaches its maximum value with a perfectly positive correlation.