We assume that the call option's value is correctly priced by Black and Scholes' option pricing model in this paper. This paper derives an exact closed-form solution for implied standard deviation under the condition that the underlying asset price equals the present value of the exercise price....

Asset pricing models have been used extensively in the recent real estate literature to evaluate real estate performance and estimate required rates of return of properties. In this paper, we show that the CAPM and its variants will derive a biased result when short sales are not allowed in the...

This paper demonstrates that, given the assumption that asset retur ns are generated by the linear market model, the same functional form for the capital asset pricing model can be derived via the simpler linear programming approach for the risk-averse, risk-neutral, and risk-loving market...

Vandell (1991) recently developed a rigorous minimum variance technique for selecting and weighting comparables in real estate appraisal. This article extends Vandell's methodology in three areas: (1) an alternative objective function; (2) an approach that explicitly recognizes the...

This paper examines how the progressive personal tax rate affects the equilibrium asset pricing model. In a continuous-time framework with progressive taxation, it can be shown that the expected excess rate of return on a risky asset is an increasing function of (i) the covariance of asset...

This paper proposes and develops a replication method for estimating property values, in which optimal weights of comparable property attributes that best duplicate the subject property are determined. In a setting where the number of comparables is large compared to the number of attributes,...

This paper develops an optimal portfolio selection technique when short sales on real estate assets are restricted. Using the well-known mean-variance efficient concept, we are able to derive the optimal weights for portfolios consisting of both financial assets and real estate assets. Our paper...