基于多资产期权的土地资源组合开发优化研究

基于土地供应动态价格存在不确定性和期末土地资源的市场推广具有灵活性，土地资源的储备开发价值包括初始投资和期末看涨期权价值。根据欧式多资产期权方法，通过把收益的算术平均近似表达为几何平均的形式，多维问题可以转换为一维问题。参照一篮子期权的几何平均B-S期权定价模型，给出了基于实物期权的多项土地资源储备与开发的算术平均收益的夏普比率优化目标函数。数值计算表明，土地资源配置比例越是均匀，土地储备的期权价值越小。期权价值与配置比例反映为非线性关系。

Research on Optimized Land Resources Combination and Development Based on Multi-asset Options

The multi-asset land resources value includes the beginning cost and the end-time European call options, with the uncertainty of dynamic land supplying price and the flexibility choice of land sale on the market or not. According to the multi-asset options method, expressing the arithmetic average value as the geometric average value approximately, the multi-dimension problem can convert to the single dimension problem. The objective Sharpe ratio function of land development arithmetic average value portfolio is deduced based on the geometric average B-S model of the basket options in the paper. The example result shows that the more even the resources comparison ratio, the smaller the real options value is. The arithmetic average value of multi-assets is not in brief the arithmetic average value. The behavior of real options value and property ratio is nail-linear.