Björk, Tomas (contributor); Clapham, Eric (contributor) - 2002 - [Elektronische Ressource]
In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing … the specific model chosen for the index process, the dividend process, and the interest rate term structure. We provide an … approximation errors from a theoretical as well as from a numerical point of view. -- Real estate ; index linked swaps ; arbitrage …