Στοχαστική μοντελοποίηση αγοράς παραγώγων ακινήτων και σύνδεση τους με δικαιώματα προαίρεσης
The real estate derivatives market and its linchpin with options
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Παράγωγα ακινήτωνAbstract
In this paper, a real estate pricing model of derivatives in a stochastic environment will be studied. Options are a usefull financial asset for investors as far as managing the risk of their portfolios is concerned. In particular, a bivariate option pricing model will be developed, which will calculate the value of any type of option affected by the two variables, namely the value of the property and the short-term interest rate. Subsequently, a suitable pricing model will be studied, which is able to match the interest rate and market volatility curves for both European and American options. Further, a two-dimensional binomial tree will be developed in order to calculate the value of these options. Finally, applications and useful conclusions on the effectiveness of our model will be given.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
106Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα