This study explores volatility smiles when stock market information is lagged, specifically in the REIT industry. A usual requirement is that REITs can only disseminate information relating to their property valuations once per year; therefore, this leads to the lagging effect. Within the...

The application of game theory to real option analysis is useful to understand the interaction between agents and the reason why developers tend to develop earlier than expected. Using a discrete time model, we critically present the limits of the Smit and Ankum (1993) model and propose a...

Swap contracts in financial markets are normally priced assuming (either strong or weak) market efficiency. A recent study by Baum, Lizieri and Marcato [2006] highlighted the importance of inefficiencies for total return swap contracts in real estate markets. After identifying the main...

"The current credit crunch has revealed that the property fundamentals should account for the prices of at least lower ranked tranches. Therefore, we intend to identify the driving factors of the initial spread of commercial mortgage backed securities (CMBS) in European markets. Previous studies...

In modelling real estate assets, the assumption of market completeness is violated. In this work we introduce indifference pricing in the valuation of development projects for the first time in the context of real option analysis. We model both a simple call option to defer and a compound put...

[abstract missing - contribution appeared in the programme]

ERES:conference

In an asset allocation process, correlations are particularly important if one includes 'alternative investments' such as real estate, commodities and hedge funds, which have been proclaimed to provide diversifying benefits within the overall portfolio context. While many studies have found that...