EMPIRICAL TESTING OF REAL OPTION-PRICING MODELS

• 成果类型: Article
• 署名作者: QUIGG, L
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2328915
• 发表日期: 1993
• 页码: 621-640
• 关键词: CONTINGENT-CLAIMS; valuation; prices; INVESTMENT

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.