Risk-hedging in real estate markets

DOI10.1007/s10690-009-9095-3zbMath1177.91128OpenAlexW2070158566MaRDI QIDQ1044236

Hong Miao, Robert J. Elliott, Abel Cadenillas, Zhenyu Wu

Publication date: 11 December 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9095-3

zbMATH Keywords

risk managementspeculationAmerican put optionreal estate markets

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• PariTOP

Cites Work

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• Mathematics of financial markets.
• A stochastic model for risk management in global supply chain networks
• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
• On the optimal stopping problem for one-dimensional diffusions.
• Loss Aversion and Seller Behavior: Evidence from the Housing Market
• Valuation of Commodity-Based Swing Options
• Sample Selection and Biases in Local House Value Indices
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• PariTOP: A goal programming-based software for real estate assessment
• Dynamic value at risk under optimal and suboptimal portfolio policies.

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