Arbitrage Free Price Bounds for Property Derivatives

Market frictions inhibit perfect replication of property derivatives and dene the property spreadas a price measure in the incomplete real estate market. We identify transaction costs, transactiontime and short sale constraints as the main frictions in this market. Based on these frictions, weset up a framework of arbitrage free price bounds for property derivatives.[...]

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Year of publication:	2009-06-09
Authors:	Syz, J. ; Vanini, Paolo
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Derivat <Wertpapier> \| Verbundangebot \| Preisindex

Table of Contents
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IntroductionProperty market frictionsTransaction costs
Transaction time
Short sale constraint
Arbitrage free price bounds
Empirical results
Verication of friction costs
Conclusion
References

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