Option Pricing and Timberland's Land-Use Conversion Option: Comment
评论Zinkhan(1991)用Black-Scholes模型评估林地转换期权的方法，提出一个更简单且逻辑一致的替代模型，并推导出期权的最优到期日。
In a recent issue of this journal, Zinkhan (1991) suggests using a Black-Scholes (1973) approach to computing the value of the land-use conversion option when valuing timberlands. The value of the conversion option is the value of being able to convert from timber to some other land use such as agriculture or real estate development if such an opportunity becomes desirable at some future date.1 In the Faustmann model this conversion option is ignored; thus, Faustmann values provide a lower bound for timber stand values. While retaining the Black-Scholes framework, an alternative approach is suggested here for valuing the timberland conversion option. The approach presented here is a simpler and logically consistent model. This paper also expands the enquiry to show the optimal expiration date for the option.