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    Title: 臺灣不動產投資信託評價之研究 : 以新光一號為例
    Other Titles: The study pricing of real estate investment trusts : for example Shin Kong no 1
    台灣不動產投資信託評價之研究 : 以新光一號為例
    Authors: 黃偉堯
    Contributors: 淡江大學財務金融學系碩士在職專班
    林景春;林允永
    Keywords: REITs;選擇權;蒙地卡羅模擬法;Hull-White利率模型;REITs;option;Monte Carol Simulation;Hull-White model
    Date: 2007
    Issue Date: 2010-01-11 01:10:53 (UTC+8)
    Abstract: 隨著金融腳步的開放改革,加上政府為增加金融商品證券化之流動性,於近年分別通過「金融資產證券化條例」及「不動產證券化條例」以提高投資人對固定收益性商品之興趣。然而在各式金融證券化商品中,更以不動產投資信託(REITs)之規模較大及受青睞。
    然而一般衍生性金融商品如選擇權等,因發展交易時間較長且訂價方式也有較成熟與固定之模型,對應用於訂價上也因時間之印證與商品能互相呼應,因此無取得資料上困難。反觀,本文以最近熱門之當紅投資商品REITs為
    例,在國內由於尚處於發展萌芽階段,因此在資料數據上無較多實際數值可供運用。故評價該投資商品時,仍以模擬的方法來進行,為降低模擬時之偏差,本文利用蒙地卡羅模擬法及Hull-White利率模型兩種作為本篇之理論基礎,以財務上現金流量折現觀念來進行評價。
    This study uses the Hull-White interest modle and Monte Carlo Simulation to show that SHIN KONG NO.1 in pricing . We find the pricing is higher when the interest rate is lower .
    Recently government promoted many related project in order to boost the prosperity of real estate market. Above all, the real estate investmsnt trusts (RESTs).It not only bring the income for enterprise also increase the liquidity for real estate.
    How do you judge the evaluated is higher or lower when investment in them. Furthermore, reports of pricing is importance to investment these products. Them will provide the valuable information to help you judge to the investing object. So this study is to focus on how do you pricing the RESTs and the pricing is or not reasonable.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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