A Pricing Framework for Real Estate Derivatives
针对房地产衍生品市场不完善的特点，提出一个能生成精确定价公式的建模框架，该框架可容纳房地产指数的计量经济学特性，并利用期货市场价格校准风险的市场价格。
Abstract 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.