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A Pricing Framework for Real-Estate Derivatives

Fabozzi, Frank J., Shiller, Robert, Tunaru, Radu (2012) A Pricing Framework for Real-Estate Derivatives. European Financial Management, 18 (5). pp. 762-789. ISSN 1354-7798. (doi:10.1111/j.1468-036X.2011.00635.x) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:28641)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL
http://dx.doi.org/10.1111/j.1468-036X.2011.00635.x

Abstract

New methods are developed here for pricing the main real estate derivatives - futures and forward contracts, total return swaps, and options. Accounting for the incompleteness of this market, a suitable modelling framework is outlined that can produce exact formulae, assuming that the market price of risk is known. This framework can accommodate econometric properties of real estate indices such as predictability due to autocorrelations. The term structure of the market price of risk is calibrated from futures market prices on the Investment Property Databank index. The evolution of the market price of risk associated with all five futures curves during 2009 is discussed.

Item Type: Article
DOI/Identification number: 10.1111/j.1468-036X.2011.00635.x
Uncontrolled keywords: derivatives pricing; real estate indices; incomplete markets; market price of risk; serial correlation
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Catherine Norman
Date Deposited: 01 Feb 2012 13:00 UTC
Last Modified: 16 Nov 2021 10:06 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/28641 (The current URI for this page, for reference purposes)
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