EMPIRICAL TESTING OF REAL OPTION-PRICING MODELS

被引：200

作者：

QUIGG, L

机构：

来源：

JOURNAL OF FINANCE | 1993年 / 48卷 / 02期

关键词：

D O I：

10.2307/2328915

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This research is the first to examine the empirical predictions of a real option-pricing model using a large sample of market prices. We find empirical support for a model that incorporates the option to wait to develop land. The option model has explanatory power for predicting transactions prices over and above the intrinsic value. Market prices reflect a premium for the option to wait to invest that has a mean value of 6% in our sample. We also estimate implied standard deviations for individual commercial property prices ranging from 18 to 28% per year.

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页码：621 / 640

页数：20

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