Real option values often depend on assets that are infrequently traded and lack a continuously reliable value benchmark. In this paper we develop a methodology for valuing a wide variety of claims on noisy real assets, including those that are European, American, compound and strategic in...

We study contingent claims written on real assets whose values are observed with noise and the acquisition of information to improve irreversible exercise decisions. We determine the conditional expected asset value and show that it can depend on historical observed values. In a noisy setting,...

This paper considers the pricing of multi-class commercial mortgage-backed securities. A contingent-claims pricing methodology that overcomes state variable dimensionality problems is developed to examine mortgage pools with many distinct underlying assets and whose loan cash flow values are...

Empirical studies of bond and commercial mortgage performance often quantify a required risk premium by examining the difference between the promised yield and the realized yield as adjusted for default occurrence. These studies omit the effects of various other sources of risk, however,...