Empirical Testing of Real Option-Pricing Models
首次用大量市场交易价格数据检验实物期权定价模型的预测能力，发现包含等待开发选择权的模型能解释土地交易价格，且期权溢价平均为6%。
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. DESPITE EXTENSIVE TESTING OF option-pricing models for financial assets, virtually no research has addressed the empirical implications of option-based valuation models for real assets.'This research is the first effort that examines the empirical predictions of a real option-pricing model using a large sample of market prices.Real options that have been valued in the academic literature include capital investments and natural resources, as well as urban land.The model we consider incorporates the option to wait to invest in the valuation of urban land.This paper provides empirical information about the option-based value of land, relative to its intrinsic value and its market price.Using data on 2700 land transactions in Seattle, we find a mean option (time) premium of 6% of the theoretical land value.This premium ranges from 1% to 30% in various subsamples.We define the "option premium" as the difference between the intrinsic value and the option model value, divided by the option model value.2We also find that the option model has explana-