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題名:不動產估價的新挑戰: 模糊實質選擇權之應用
作者:蘇進雄
作者(外文):Chin-Shyong Su
校院名稱:國立東華大學
系所名稱:企業管理學系
指導教授:王詩韻
陳澤義
學位類別:博士
出版日期:2018
主題關鍵詞:模糊實質選擇權理論不動產估價估價準確性估價理論選擇權評價理論Fuzzy real option theoryreal estate appraisalvaluation accuracyvaluation theoryoption pricing model
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本研究從膨脹估值與金融危機的關聯性切入,藉以凸顯高準確性估值在估價分析上的重要性。特別是積極尋找減少偏差的新方法是現代估價文獻的主流,故本文檢視過去的選擇權評價模型、模糊實質選擇權模型、不動產估價方法暨相關評價模式而提出五點挑戰。這些挑戰基於配合不動產估價之需要並修改以往研究所提的各種評價模型,從而建立新的不動產抵押選擇權模型與擴展版模糊實質選擇權模型(Et-FROV模型)。實證結果顯示Et-FROV模型可以縮小誤差幅度與提高估值的準確性,並解決估價失真問題。更重要的是,本文不僅可以準確估計標的資產之保本價值(即保本93%),還可以獲得其增值利潤(即增值84%),這些實證印證本文極力提倡此模型在不動產估價的適當性,此方法不僅可以提供其他國家在評估不動產估價或投資決策上之另類參考,更能為後續研究提供一個方向。
This study starts from the correlation between inflation valuation and financial crisis so as to highlight the importance of valuation accuracy in valuation analysis. In particular, seeking new ways to reduce valuation deviation is also the mainstream of modern valuation literature. Therefore, this paper examines former models, f including option pricing model, fuzzy real option model, real estate appraisal method and related pricing model, and then identifies five issues. To satisfy the needs of real estate appraisal, a novel real estate mortgage option model, extended fuzzy real option model (Et-FROV mode), is established to resolve these issues by modifying various pricing models proposed in the literature.
The empirical results show that the proposed Et-FROV model can reduce the valuation deviation and improve the valuation accuracy to solve the problem of valuation distortion. More crucially, with such model, we not only can accurately estimate the underlying asset’s hedging value (i.e. capital preservation at 93%) but also can derive its value-added profit (i.e. added value at 84%), these empirical findings confirm the appropriateness of this model for real estate appraisal. Consequently, the proposed method not only provides an alternative reference on assessing real estate (property) valuation or investment decisions for the other countries but also provides a new direction for scholars to continue research.
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