A model for pricing real estate derivatives with stochastic interest rates
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Publication:969871
DOI10.1016/J.MCM.2008.12.005zbMATH Open1185.91173OpenAlexW2138389638MaRDI QIDQ969871FDOQ969871
Authors: Pierangelo Ciurlia, Andrea Gheno 
Publication date: 8 May 2010
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/9924/1/MPRA_paper_9924.pdf
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Cites Work
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- Brownian agents and active particles. Collective dynamics in the natural and social sciences. With a foreword by J. Doyne Farmer.
- Option pricing: A simplified approach
- On the pricing of contingent claims under constraints
- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
- ON THE EXISTENCE OF LIMIT CYCLES IN OPINION FORMATION PROCESSES UNDER TIME PERIODIC INFLUENCE OF PERSUADERS
- FROM DISCRETE KINETIC AND STOCHASTIC GAME THEORY TO MODELLING COMPLEX SYSTEMS IN APPLIED SCIENCES
- Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework
Cited In (10)
- A robust nonstandard finite difference scheme for pricing real estate index options
- Pricing and simulation for real estate index options: radial basis point interpolation
- Real options valuation. The importance of interest rate modelling in theory and practice. With a foreword by Stewart C. Myers and Ulrich Hommel.
- Pricing real estate index options under stochastic interest rates
- Risk measures and behaviors for bonds under stochastic interest rate models
- A stochastic approach to model housing markets: the US housing market case
- Risk-hedging in real estate markets
- Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting
- Tax liens: a novel application of asset pricing theory
- Pricing real estate index options by compactly supported radial-polynomial basis point interpolation
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