Leasing Risks in Commercial Property: A Discrete Time Option Model

2002 ◽  
Keyword(s):  
Discrete Time ◽  
Property A ◽  
Commercial Property ◽  
Option Model

scholarly journals A Discrete-Time American Put Option Model with Fuzziness of Stock Prices

2005 ◽  
Vol 4 (3) ◽  
pp. 191-207 ◽  
Author(s):  
Yuji Yoshida ◽  
Masami Yasuda ◽  
Jun-ichi Nakagami ◽  
Masami Kurano
Keyword(s):  
Discrete Time ◽  
Stock Prices ◽  
American Put Option ◽  
Put Option ◽  
Option Model ◽  
American Put

The pricing of real options in discrete time models

2001 ◽  
Vol 19 (1) ◽  
pp. 9-34 ◽  
Author(s):  
Yuichiro Kawaguchi ◽  
Kazuhiro Tsubokawa
Keyword(s):  
Real Options ◽  
Discrete Time ◽  
Real Option ◽  
Tokyo Metropolitan Area ◽  
Real Option Pricing ◽  
Option Model ◽  
Ito Process ◽  
Return Process ◽  
Discrete Time Models ◽  
Made In

This paper proposes a discrete time real options model with time‐dependent and serial correlated return process for a real estate development problem with waiting options. Based on a Martingale condition, the paper claims to be able to relax many unrealistic assumptions made in the typical real option pricing methodology. Our real option model is a new one without assuming the return process as “Ito Process”, specifically, without assuming a geometric Brownian motion. We apply the model to the condominium market in Tokyo metropolitan area in the period 1971‐1997 and estimate the value of waiting to invest in 1998‐2007. The results partly provide realistic estimates of the parameters and show the applicability of our model.

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