Pricing and Index Considerations in Commercial Real Estate Derivatives

摘要: It is important for participants in the nascent commercial real estate derivatives market to understand fundamentals and subtleties of appraisal transaction based indexes that underpin derivatives, as well proper pricing taking into account risk return characteristics index. The authors review these considerations including implications lag index has equilibrium such swaps, use vehicles hedging risk. An conclusion even if underlying does not represent current property or itself equilibrium, we can still analysis derive a fair price an derivative consideration effect any lagging smoothing highlights informational issues about markets present both danger opportunity facilitation well-functioning United States shows how usage needs consider possible