Risk-Neutral Valuation of Real Estate Derivatives

David van Bragt; Marc K. Francke; Stefan N. Singor; Antoon Pelsser

doi:10.3905/jod.2015.23.1.089

Risk-Neutral Valuation of Real Estate Derivatives

David van Bragt, Marc K. Francke, Stefan N. Singor and Antoon Pelsser

The Journal of Derivatives Fall 2015, 23 (1) 89-110; DOI: https://doi.org/10.3905/jod.2015.23.1.089

David van Bragt

is Senior Consultant Investment Solutions at Aegon Asset Management in Den Haag, The Netherlands.

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For correspondence: dbragt@aegon.nl

Marc K. Francke

is professor of real estate valuation at the University of Amsterdam and head of Real Estate Research at Ortec Finance in Rotterdam, The Netherlands.

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For correspondence: marc.francke@ortec-finance.com

Stefan N. Singor

is a PhD. student at the Delft Institute of Applied Mathematics at Delft University of Technology and Senior Risk Management Consultant at Ortec Finance in Rotterdam, The Netherlands.

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For correspondence: stefan.singor@ortec-finance.com

Antoon Pelsser

is professor of finance and Actuarial Science at Maastricht University in The Netherlands, Fellow at Netspar in The Netherlands, and head of Research at Kleynen Consultants in Heerlen, The Netherlands.

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For correspondence: a.pelsser@maastrichtuniversity.nl

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The Journal of Derivatives

Vol. 23, Issue 1

Fall 2015

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Risk-Neutral Valuation of Real Estate Derivatives