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On Option-Pricing Models in Real Estate: A Critique
Authors:James D. Shilling  C.F. Sirmans  John D. Benjamin
Affiliation:Department of Finance, College of Business Administration, Louisiana State University, Baton Rouge, Louisiana 70803.
Abstract:This paper considers the problems peculiar to options on real estate, because of the special set of institutional factors influencing real estate markets. It is intended to serve as a reply to Johnson and Wofford [15] as well as provide an overall critique of option-pricing models in a real estate context. Our major point is that a variety of real estate decisions, such as the abandonment decision, the option to refinance, or the option to exercise a contingent real estate purchase contract, may be modeled using option-pricing techniques. However, both the theoretical and institutional aspects of real estate markets must be taken into account in both developing and applying option models in a real estate context.
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