caa a22 4500 445316292 CHVBK 20180317142648.0 cr unu---uuuuu 170323e20111001xx s 000 0 eng 10.1007/s11146-009-9225-8 doi (NATIONALLICENCE)springer-10.1007/s11146-009-9225-8 Arbitrage Free Price Bounds for Property Derivatives [Elektronische Daten] [Juerg Syz, Paolo Vanini] Market frictions inhibit the perfect replication of property derivatives, and define the property spread as a price measure in the incomplete real estate market. We identify transaction costs, transaction time, and short sale constraints as the main frictions in this market. Based on these frictions, we set up a framework of arbitrage free price bounds for property derivatives. In turn, we use observed derivative prices to determine the implied cost of the frictions. Lastly, we verify these values by using other research, which confirms the accuracy of our framework. Springer Science+Business Media, LLC, 2009 Property derivatives nationallicence Property spread nationallicence Arbitrage free price bounds nationallicence Market frictions nationallicence Halifax House Price Index nationallicence Syz Juerg Diener Syz Real Estate, Dufourstrasse 21, 8702, Zollikon, Switzerland aut Vanini Paolo Zurich Cantonal Bank and Swiss Finance Institute, Josefstrasse 222, 8005, Zurich, Switzerland aut The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 43/3(2011-10-01), 281-298 0895-5638 43:3<281 2011 43 11146 https://doi.org/10.1007/s11146-009-9225-8 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11146-009-9225-8 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Syz Juerg Diener Syz Real Estate, Dufourstrasse 21, 8702, Zollikon, Switzerland aut NATIONALLICENCE 700 1- Vanini Paolo Zurich Cantonal Bank and Swiss Finance Institute, Josefstrasse 222, 8005, Zurich, Switzerland aut NATIONALLICENCE 773 0- The Journal of Real Estate Finance and Economics Springer US; http://www.springer-ny.com 43/3(2011-10-01), 281-298 0895-5638 43:3<281 2011 43 11146 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer