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Risk-Neutral Valuation of Real Estate Derivatives

https://doi.org/10.2139/ssrn.1576624
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/fut.20192openalex-extracted
The valuation of European options when asset returns are autocorrelated
inferredcites →https://doi.org/10.1006/jhec.1997.0202openalex-extracted
A Model for Pricing Securities Dependent upon a Real Estate Index
inferredcites →https://doi.org/10.1007/978-3-662-04553-4openalex-extracted
Interest Rate Models Theory and Practice
inferredcites →https://doi.org/10.1007/bf00178857openalex-extracted
Pricing commercial mortgages and their mortgage-backed securities
inferredcites →https://doi.org/10.1007/s11146-007-9073-3openalex-extracted
Pricing Property Index Linked Swaps with Counterparty Default Risk
inferredcites →https://doi.org/10.1007/s11146-008-9129-zopenalex-extracted
Hedging House Price Risk with CME Futures Contracts: The Case of Las Vegas Residential Real Estate
inferredcites →https://doi.org/10.1016/0261-5606(92)90013-nopenalex-extracted
Pricing European average rate currency options
inferredcites →https://doi.org/10.1016/0304-405x(77)90016-2openalex-extracted
An equilibrium characterization of the term structure
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-extracted
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/0304-4076(90)90092-8openalex-extracted
ARCH models as diffusion approximations
inferredcites →https://doi.org/10.1016/j.jfineco.2005.10.006openalex-extracted
Maximum likelihood estimation of stochastic volatility models
inferredcites →https://doi.org/10.1016/s0304-4076(03)00107-6openalex-extracted
The dynamics of stochastic volatility: evidence from underlying and options markets
inferredcites →https://doi.org/10.1016/s1051-1377(02)00121-3openalex-extracted
On the pricing of real estate index linked swaps
inferredcites →https://doi.org/10.1080/0042098032000074317openalex-extracted
Appraisal Smoothing and Price Discovery in Real Estate Markets
inferredcites →https://doi.org/10.1080/02640828708723929openalex-extracted
Property portfolio allocation: A multi‐factor model
inferredcites →https://doi.org/10.1080/095999198368419openalex-extracted
Valuation smoothing without temporal aggregation
inferredcites →https://doi.org/10.1080/10835547.1998.12090925openalex-extracted
The Pricing of Embedded Options in Real Estate Lease Contracts
inferredcites →https://doi.org/10.1086/260062openalex-extracted
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1093/rfs/14.1.113openalex-extracted
Valuing American Options by Simulation: A Simple Least-Squares Approach
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05168.xopenalex-extracted
Implementing Option Pricing Models When Asset Returns Are Predictable
inferredcites →https://doi.org/10.21314/jcf.2006.144openalex-extracted
Partially exact and bounded approximations for arithmetic Asian options
inferredcites →https://doi.org/10.2139/ssrn.1698613openalex-extracted
Evaluation of House Price Models Using an ECM Approach: The Case of the Netherlands
inferredcites →https://doi.org/10.2139/ssrn.678041openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.740364openalex-extracted
Hedging House Price Risk: Portfolio Choice With Housing Futures
inferredcites →https://doi.org/10.2307/2342487openalex-extracted
Statistical Forecasting for Inventory Control.
inferredcites →https://doi.org/10.3386/w13962openalex-extracted
Derivatives Markets for Home Prices
inferredcites →https://doi.org/10.3905/jod.6.2.39openalex-extracted
Pricing European Options on Autocorrelated Indexes
inferredcites →https://doi.org/10.3905/jpm.2007.698910openalex-extracted
Pricing and Index Considerations in Commercial Real Estate Derivatives
inferredcites →https://doi.org/10.3905/jpm.2009.35.5.092openalex-extracted
Hedging Real Estate Risk
inferredcites →https://doi.org/10.1007/s11146-009-9203-1openalex-snapshot
Repeat Sales Index for Thin Markets
inferredcites →https://doi.org/10.1007/s11146-009-9225-8openalex-snapshot
Arbitrage Free Price Bounds for Property Derivatives
inferredcites →https://doi.org/10.1023/a:1007779229387openalex-snapshot
Home Equity Insurance

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1016/j.insmatheco.2013.01.003openalex-snapshot
Pricing inflation products with stochastic volatility and stochastic interest rates
inferred← citeshttps://doi.org/10.32628/ijsrset218154openalex-snapshot
Interest Rate Spread as the 'Power of Growth' on Financial Profitability of Banks in Africa
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