실물옵션을 이용한 개발예정부동산의 감정평가모형 구축 및 최적 임계점 영향요인의 효과분석: 만기무한의 아메리카형 옵션모형을 중심으로

The purpose of this study is to construct the appraisal model for the real estate to be developed and apply to reconstruction apartment on the basis of the unlimited American option of uncertainty, irreversibility and flexibility of the real estate development project. Based on the optimal critical point model, which can find the optimum point of development, the effects of factors affecting the optimal critical point are mathematically analyzed. First, based on the geometric Brownian motion of the underlying asset price, we derive the differential equation of the property to be developed, which is a derivative asset, and obtain the solution of the ordinary differential equations to build a valuation model of the real estate to be developed. As a result of applying the model to the reconstruction apartment in Gangnam-gu, it was estimated to be 35,977,728 won / ㎡ per unit area of land. Next, we analyze the effect of factors affecting optimal critical point. As a result, it can be seen that α and σ increase the optimum critical point through the option multiplier and y decrease the optimal critical point through the option multiplier, and ρ decreases the optimal point directly while decreasing the optimal point through the option multiplier. On the other hand, R0 and I directly increase the optimal point, while C0 directly decrease the optimal point.