A pricing framework for real-estate derivatives

Fabozzi, Frank J, Shiller, Robert J and Tunaru, Radu S (2012) A pricing framework for real-estate derivatives. European Financial Management, 18 (5). pp. 762-789. ISSN 1354-7798

Full text not available from this repository.


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
Schools and Departments: University of Sussex Business School > Accounting and Finance
Research Centres and Groups: Quantitative International Finance Network
Subjects: H Social Sciences > HG Finance > HG0101 Theory. Method. Relation to other subjects > HG0106 Mathematical models
Depositing User: Radu Tunaru
Date Deposited: 23 Jan 2020 10:17
Last Modified: 23 Jan 2020 10:17
URI: http://sro.sussex.ac.uk/id/eprint/89497
📧 Request an update