STOCHASTIC DIRECT CAPITALIZATION MODEL FOR REAL ESTATES

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  • 確率論的直接還元モデルによる不動産の収益価格
  • カクリツロンテキ チョクセツ カンゲン モデル ニ ヨル フドウサン ノ シュウエキ カカク

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Abstract

Applicability of dynamic discounted cash flow approach upon capitalization of real estates is inclusively investigated, and it was found that evaluation of the direct capitalization must be carried out analytically, since Monte Carlo simulation may not be employed because of time consuming due to a nonlinear stochastic cash flows involved in the mathematical derivation. This paper proposed an approximate analytical method of discounted cash flows based on a logarithm random walk process in order to evaluate the stochastic direct capitalization of real estates. Numerical results by the proposed method is verified by Monte Carlo simulation, and a good agreement was obtained. It is emphasized that the procedure is simple and the calculation is easy, because an analytical technique is used.

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