Pricing analysis of Dong Wu Su Yuan Industry based on the pricing model of public REITs

Abstract

Given that infrastructure public REITs in China are still in the early stage of development, this paper firstly reviews their current status from relevant sources and briefly describes their definitions, development status and main characteristics. The option-adjusted spread method based on Monte Carlo simulation is chosen as the pricing model. The term adjusted spread method needs to consider the interest rate term structure, so the CIR model is used as the interest rate term structure model for interest rate forecasting, and the three CIR parameter values obtained by fitting are brought into the CIR model using Monte Carlo method simulation to obtain 1000 forward interest rate paths, and the spot interest rate is obtained according to the forward interest rate curve path, and the spot interest rate is used to combine with the option adjusted spread OAS to discount the 1000 present values. The average value of the 1000 present values is the pricing result. Comparing the pricing result with the market value, it is found that the two are basically equal. This shows that the option-adjusted spread method based on Monte Carlo simulation can evaluate the value of public REITs more scientifically and reasonably.