Answers are grounded in this paper and cite their sources.
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.
No takes yet. Share an insight, caveat, or question.
Fabozzi et al. (2011) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: