ARBITRAGE AND INVESTMENT IN COMMERCIAL PROPERTY
提出一种基于套利定价的商业地产估值方法，并针对英国商业租赁中常见的“只涨不跌”租金调整条款，引入期权定价模型进行改进，对投资者和地产分析师有参考价值。
Leases in commercial property in the UK usually allow for the rent to be revised at fixed intervals throughout the contract. This feature complicates the valuation of financial investment in commercial property because the income has contractual fixed compments as well as an equity‐type variability. This paper presents a valuation method based on an arbitrage pricing approach to the occupancy of a property. The limitations of this method can be found in the inapplicability to observed rental contracts which limit rent revision to ‘upwards‐only’ changes. From this characteristic, the method based on option pricing is proposed and the application of the model to conventional commercial leaseholds is demonstrated.