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A note on the pricing of real estate index linked swaps
Björk, Tomas; Clapham, Eric - 2002
In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing …
Persistent link: https://www.econbiz.de/10010281429
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A note on the pricing of real estate index linked swaps
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 …
Persistent link: https://www.econbiz.de/10001645586
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Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios
Amédée-Manesme, Charles-Olivier - 2012
This paper aims to show that the accuracy of real estate portfolio valuations and of real estate risk management can be improved through the simultaneous use of Monte Carlo simulations and options theory. Our method considers the options embedded in Continental European lease contracts drawn up...
Persistent link: https://www.econbiz.de/10013105113
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A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate
Gong, Pu - 2017
developed for pricing real estate derivatives with stochastic interest rate. To obtain a computationally simple binomial tree … used to enhance the convergence of the discrete binomial lattice models to continuous models when pricing European options …. In addition, our smooth convergent models can also be applied to pricing American options …
Persistent link: https://www.econbiz.de/10012946171
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Risk-Neutral Valuation of Real Estate Derivatives
Bragt, David van - 2010
techniques. The resulting index behavior can easily be analyzed and closed-form pricing solutions are derived for forwards, swaps …
Persistent link: https://www.econbiz.de/10013149012
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Risk-Neutral Valuation of Real Estate Derivatives
Bragt, David van - 2019
update rule by Blundell and Ward (1987). The resulting index behavior can easily be analyzed and closed-form pricing …
Persistent link: https://www.econbiz.de/10012906100
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Derivatives for the German Property Market
Piazolo, Daniel - 2009
In 2009 the Frankfurt based Eurex traded the first property future. Eurex is the international derivatives exchange and is jointly owned by Deutsche Börse AG and SWX Swiss Exchange. Consequently, returns on commercial property are now available in an exchange environment within Europe. The...
Persistent link: https://www.econbiz.de/10013153331
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A real options approach to distressed property Borrower-Lender reconciliation
Moore, David J.; Ikromov, Nuriddin - In: Journal of mathematical finance 5 (2015) 1, pp. 73-81
Persistent link: https://www.econbiz.de/10011398644
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Real estate transactions in ancient Israel : excavating embedded options utilizing modern finance
Prisman, Elizer Z. - In: Financial history review 22 (2015) 1, pp. 107-132
Persistent link: https://www.econbiz.de/10011378122
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Value maximizing decisions in the real estate market : real options valuation approach
Čirjevskis, Andrejs - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-19
The real estate market of EU countries has undergone a severe global financial crisis 2008-2009, recovered successfully later, and now experiencing significant uncertainty due to the COVID-19 pandemic event. Significant volatility of the real estate business is once again evident, just as it was...
Persistent link: https://www.econbiz.de/10012605926