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- W3108152011 abstract "Real estate assets can be used to store capital, generate income through rentals and can act as collateral for debt instruments. Common risk management mechanisms for real estate investments use portfolio diversification techniques, but these techniques require large amounts of capital to work effectively. Real estate index derivatives offer an alternative mechanism for managing risks associated with real estate investments. They also increase market liquidity by providing a path for individuals who do not own real estate assets to participate in the real estate market. We consider the problem of pricing real estate index derivative contracts. The market is incomplete, so it is completed by futures derivatives on the same real estate index. A dynamic hedging strategy is employed leading to a parabolic partial differential equation with coefficients which are dependent on time and the real estate index. We then construct a nonstandard finite difference method to price European and American real estate index options. The scheme utilizes complete cubic spline interpolants of the option prices at time-dependent backtrack points on the spatial grid. Bounds for the global error are theoretically established. Numerical experiments are carried out to illustrate the accuracy of the scheme." @default.
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- W3108152011 date "2020-11-26" @default.
- W3108152011 modified "2023-10-18" @default.
- W3108152011 title "A robust nonstandard finite difference scheme for pricing real estate index options" @default.
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- W3108152011 doi "https://doi.org/10.1080/10236198.2020.1852226" @default.
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