수치적 옵션 가격 결정 모형을 이용한 상업용 부동산 가치평가 : 한국 부동산 시장 사례
Commercial Real estate Appraisal using Numerical Option Pricing Model : In the Korean Real estate Market case
- 주제(키워드) Commercial real estate , Real options , Maximum Likelihood Estimation (MLE) , Generalized Method of Moments (GMM) , Finite Difference Method (FDM)
- 발행기관 아주대학교
- 지도교수 배형옥
- 발행년도 2019
- 학위수여년월 2019. 8
- 학위명 석사
- 학과 및 전공 일반대학원 금융공학과
- 실제URI http://www.dcollection.net/handler/ajou/000000029225
- 본문언어 영어
- 저작권 아주대학교 논문은 저작권에 의해 보호받습니다.
초록/요약
본 연구에서는 많은 대체 투자 상품들 중 부동산 상품의 가치평가에 대해 연구하고자 한다. 여러 부동산들 중 투자 위험성이 가장 높으며, 임대 수입을 현금흐름으로 갖는 상가 부동산을 대상으로 했다. 금융 공학에서 활용하는 Option Pricing Model을 이용하여 상가 부동산의 가치평가에 적용하였다. 수익환원법 중에서 할인 현금 흐름법(Discount Cash Flow)를 바탕으로 다 기간 현금흐름에 대해 연속적 가치평가 모형을 사용하였다. 부동산의 현금흐름을 초기(매입시점), 중기(보유기간), 최종(매각시점)으로 나누어 분석하였고, 임대 수익의 현금흐름에 대해 시간 가변성을 갖는 자연공실률을 고려한 임대료 모형을 사용하였다. 현금흐름에 대해 Risk adjusted discount rate를 적용하여 Net Present Value를 계산하였다. discount rate와 지가 지수에 Stochastic Process를 각각 하나씩 넣고, 두 개 기초자산을 갖는 Monte carlo simulation을 실시하였다. 최소 discount rate에는 CD 금리 이자율에 대한 Stocastic Process를 사용하였고, 최대 discount rate에는 KOSPI200 주가 수익률에 대한 Geometric Brownian Motion을 사용하였다. 그리고 실물 옵션을 활용하여 부동산 매각 가격이 지가지수를 따른다는 가정으로 Black-Schoels model을 적용하였다. 최근 한국 부동산 시장에서 이슈가 되고 있는 깡통전세에 대해 임대인의 풋옵션을 설정하여 Finite Difference Method를 실시하여 가치평가를 하였다.
more초록/요약
This study focused on commercial real estate, which has the highest risk of all of the real estate types and earns rental income as a cash flow. The Option Pricing Model, which is used in financial engineering, was applied to the valuation of commercial real estate. Based on the discount cash flow of the income approach (income capitalization method), this study used a continuous valuation model for a cash flow during many different periods. The cash flow of property was analyzed in the initial(time of purchase), middle(ownership), and terminal(time of sale) period. A rent model was used which took into consideration the natural vacancy rate that has time variability for the rental income cash flows. Net present values were calculated based on the application of a risk adjusted discount rate to future cash flows. Monte-Carlo simulation containing two underlying assets with a stochastic process was implemented. it is put in a discount rate and land price index each. A stochastic process for CD interest rate was used for the minimum discount rate, and a Geometric Brownian Motion(GBM) for the KOSPI200 rate of return was used for the maximum discount rate. In addition, by using real options, the Black-Scholes model was applied based on an assumption that property sale price would follow the land price index. Valuation was performed with the Finite Difference Method(FDM) with the put option, which lessor set for Kkangtong-Chonsei. Kkangtong-Chonsei has been an issue in the real estate market of South Korea in recent years.
more목차
Abstract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .ⅰ
Contents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ⅱ
1 Introduction 1
2 Real Options 8
2.1 Real Options Pricing Model . . . . . . . . . . . . . . . . . . . . 9
2.2 Validity of Risk-neutral Assumptions . . . . . . . . . . . . . . . 10
2.3 Applying Real Options in Real estate . . . . . . . . . . . . . . . 12
3 Real estate Assets 15
3.1 Valuation of income properties . . . . . . . . . . . . . . . . . . 15
3.2 Object Real estate . . . . . . . . . . . . . . . . . . . . . . . . . . 18
3.3 Appraisal applying Market Approach . . . . . . . . . . . . . . . 21
3.4 Pricing model for Real estate . . . . . . . . . . . . . . . . . . . 27
3.5 Continuous Pricing model for Real estate . . . . . . . . . . . . . 30
3.5.1 Initial Cash Flow . . . . . . . . . . . . . . . . . . . . . . 30
3.5.2 Midterm Cash Flow . . . . . . . . . . . . . . . . . . . . . 31
3.5.3 Terminal Cash Flow . . . . . . . . . . . . . . . . . . . . . 33
3.6 Discount rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
4 Parameter estimation 37
4.1 Unit root test . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
4.2 Stochastic interest rate model : Cox-Ingersoll-Ross Model . . . 38
4.3 Maximum Likelihood Estimation(MLE) . . . . . . . . . . . . . . . 41
4.4 Rent Model considering natural vacancy . . . . . . . . . . . . . 46
4.5 Generalized Method of Moments(GMM) . . . . . . . . . . . . . . . 50
5 Appraisal of Commercial Real estate . . 55
5.1 Applying the Black-Scholes model of Terminal value . . . . . 56
5.2 Finite Difference Method at Terminal value . . . . . . . . . . 61
5.3 Monte Carlo Simulation . . . . . . . . . . . . . . . . . . . . . . . 65
6 Conclusion 72
References 74
