التفاصيل البيبلوغرافية
| العنوان: |
A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate. |
| المؤلفون: |
Zou, Dong1, Gong, Pu1 gongpu@hust.edu.cn |
| المصدر: |
Journal of Real Estate Finance & Economics. Aug2017, Vol. 55 Issue 2, p242-263. 22p. |
| مصطلحات موضوعية: |
*REAL property, *LIQUIDITY (Economics), *REAL property sales & prices, *ECONOMICS, *MARKETING |
| مصطلحات جغرافية: |
UNITED States |
| الشركة/الكيان: |
INVESTMENT Property Databank Ltd. |
| مستخلص: |
In this paper, a general binomial lattice framework, which is both computationally simple and numerically accurate, is developed for pricing real estate derivatives with stochastic interest rate. To obtain a computationally simple binomial tree with constant volatility, the transformation method and the probability density matching approach are introduced. A tilt parameter is then added to the jump movements to obtain smooth convergence. Therefore, the Richardson extrapolation (RE) can be used to enhance the convergence of the discrete binomial lattice models to continuous models when pricing European options. In addition, our smooth convergent models can also be applied to pricing American options. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
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