Arbitrage Free Price Bounds for Property Derivatives |
| |
Authors: | Juerg M. Syz Paolo Vanini |
| |
Affiliation: | (1) Diener Syz Real Estate, Dufourstrasse 21, 8702 Zollikon, Switzerland;(2) Zurich Cantonal Bank and Swiss Finance Institute, Josefstrasse 222, 8005 Zurich, Switzerland |
| |
Abstract: | 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. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|