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题名Heterogeneous agents and the indifference pricing of property index linked swaps
作者
发表日期2012
发表期刊Journal of Real Estate Finance and Economics
ISSN/eISSN0895-5638
卷号44期号:4页码:543-569
摘要

Swap spreads predicted by the traditional risk-neutral valuation models are much lower than the quoted market spreads for property index linked swaps (Patel and Pereira, Journal of Real Estate Finance and Economics, 36:5-21, 2008). This paper attempts to develop a utility indifference-based model for evaluating the reservation spreads of swap receivers and payers based on the principle of expected wealth utility equivalence rather than the traditional risk-neutral argument. Under the proposed model framework, this paper addresses the determination of the swap spreads. When the incompleteness of real estate markets and heterogeneity of representative agents are taken into consideration, it is shown that the agents' risk preferences and heterogeneous beliefs about expected future property returns are the remarkable determinants for the swap spreads. Our model also identifies market power and the settlement rules in the event of counterparty default as important factors in determining the swap spreads. Our model provides a possible interpretation for the difference between the spreads predicted by the traditional models and the actual market spreads. © Springer Science+Business Media, LLC 2011.

关键词Heterogeneous agents Indifference pricing Market clearing spreads Reservation swap spreads Total return swap
DOI10.1007/s11146-010-9298-4
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收录类别SSCI
语种英语English
WOS研究方向Business & Economics ; Urban Studies
WOS类目Business, Finance ; Economics ; Urban Studies
WOS记录号WOS:000302407000006
Scopus入藏号2-s2.0-84859446003
引用统计
被引频次:3[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/12592
专题个人在本单位外知识产出
通讯作者Fan, Gang-Zhi
作者单位
1.School of Insurance,Southwestern University of Finance and Economics,55 Guanghuacun Street,Chengdu 610074,China
2.Department of Real Estate Studies,Konkuk University,1 Hwayang-dong, Gwangjin-gu,Seoul 143-701,South Korea
3.Department of Real Estate,National University of Singapore,4 Architecture Drive,Singapore 117566,Singapore
推荐引用方式
GB/T 7714
Pu, Ming,Fan, Gang-Zhi,Ong, Seow Eng. Heterogeneous agents and the indifference pricing of property index linked swaps[J]. Journal of Real Estate Finance and Economics, 2012, 44(4): 543-569.
APA Pu, Ming, Fan, Gang-Zhi, & Ong, Seow Eng. (2012). Heterogeneous agents and the indifference pricing of property index linked swaps. Journal of Real Estate Finance and Economics, 44(4), 543-569.
MLA Pu, Ming,et al."Heterogeneous agents and the indifference pricing of property index linked swaps". Journal of Real Estate Finance and Economics 44.4(2012): 543-569.
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