PROPERTY DERIVATIVES - VALUATION AND RISK ANALYSIS

Krzysztof Jajuga

ERES from European Real Estate Society (ERES)

Abstract: The paper presents the theoretical framework related to the so called property derivatives. The main feature of these financial structures comes from the fact that value of property derivative depends on the value of the underlying property. In the paper two types of property derivatives are distinguished: - property index derivatives ñ these are financial derivatives traded on the market, in which underlying instrument is property index (like IPD index); - real property options ñ theoretical structures which describe the opportunities to acquire or develop of property real assets at a cost determined in the present with the benefits delivered in the future; they enhance the decision making process in real estate investments by introducing more precise valuation of real estate investments. In the paper the following problems are discussed: - types of risk in real estate investments; - review of the market of property index derivatives in different countries; - proposals for the valuation of property index options and property total return swaps; - risk of property index derivatives; - review of possible real property options; - valuation of real property options and its use in real estate decision making process.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2008-01-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2008-165 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2008_165

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().