A model for pricing real estate derivatives with stochastic interest rates

DOI10.1016/j.mcm.2008.12.005zbMath1185.91173OpenAlexW2138389638MaRDI QIDQ969871

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

zbMATH Keywords

stochastic interest ratederivatives pricingreal estatebidimensional binomial lattice

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Pricing real estate index options under stochastic interest rates ⋮ Pricing and simulation for real estate index options: radial basis point interpolation ⋮ Risk measures and behaviors for bonds under stochastic interest rate models ⋮ Pricing real estate index options by compactly supported radial-polynomial basis point interpolation ⋮ A robust nonstandard finite difference scheme for pricing real estate index options

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