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Arbitrage Free Price Bounds for Property Derivatives

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  • Juerg Syz

    ()

  • Paolo Vanini

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11146-009-9225-8
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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 43 (2011)
Issue (Month): 3 (October)
Pages: 281-298

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Handle: RePEc:kap:jrefec:v:43:y:2011:i:3:p:281-298

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: Property derivatives; Property spread; Arbitrage free price bounds; Market frictions; Halifax House Price Index;

References

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  1. Lauren Cohen & Karl B. Diether & Christopher J. Malloy, 2007. "Supply and Demand Shifts in the Shorting Market," Journal of Finance, American Finance Association, vol. 62(5), pages 2061-2096, October.
  2. Quigley, John M., 2002. "Transactions Costs and Housing Markets," Berkeley Program on Housing and Urban Policy, Working Paper Series qt6pz8p6zt, Berkeley Program on Housing and Urban Policy.
  3. Owen A. Lamont & Jeremy C. Stein, 2003. "Aggregate Short Interest and Market Valuations," Harvard Institute of Economic Research Working Papers 2027, Harvard - Institute of Economic Research.
  4. Figlewski, Stephen & Webb, Gwendolyn P, 1993. " Options, Short Sales, and Market Completeness," Journal of Finance, American Finance Association, vol. 48(2), pages 761-77, June.
  5. Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2002. "Stocks are special too: an analysis of the equity lending market," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 241-269.
  6. Longstaff, Francis A, 1995. " How Much Can Marketability Affect Security Values?," Journal of Finance, American Finance Association, vol. 50(5), pages 1767-74, December.
  7. Miller, Edward M, 1977. "Risk, Uncertainty, and Divergence of Opinion," Journal of Finance, American Finance Association, vol. 32(4), pages 1151-68, September.
  8. Kanak Patel & Ricardo Pereira, 2008. "Pricing Property Index Linked Swaps with Counterparty Default Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 5-21, January.
  9. Björk, Tomas & Clapham, Eric, 2002. "A Note on the Pricing of Real Estate Index Linked Swaps," Working Paper Series in Economics and Finance 492, Stockholm School of Economics.
  10. Brent, Averil & Morse, Dale & Stice, E. Kay, 1990. "Short Interest: Explanations and Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 273-289, June.
  11. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
  12. Arnott, Richard, 1996. "DDPWC. W,Urban Economics and Real Estate Markets.Englewood Cliffs, New Jersey; Prentice Hall, 1996. 378 pp," Journal of Housing Economics, Elsevier, vol. 5(3), pages 290-301, September.
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Cited by:
  1. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.

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