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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Arbitrage Free Price Bounds for Property Derivatives |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | The journal of real estate finance and economics |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0895-5638 |
| Volume | 43 |
| Number | 3 |
| Page Range | 281 - 298 |
| Date | 2011 |
| Abstract Text | Market frictions inhibit the perfect replication of property derivatives, and define the property spread as a price measure in the incomplete real estate market. We identify transaction costs, transaction time, and short sale constraints as the main frictions in this market. Based on these frictions, we set up a framework of arbitrage free price bounds for property derivatives. In turn, we use observed derivative prices to determine the implied cost of the frictions. Lastly, we verify these values by using other research, which confirms the accuracy of our framework. |
| Digital Object Identifier | 10.1007/s11146-009-9225-8 |
| Other Identification Number | merlin-id:5885 |
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