Risk-Hedging in Real Estate Markets

  • Abel Cadenillas
  • Robert J. Elliott
  • Hong Miao
  • Zhenyu Wu


Topics in real estate markets have attracted much attention recently. In this article, we first address the risk-hedging issues of speculators based on an American put option pricing model, and then investigate their risk-hedging behaviors using a generalized swing option so as to take capacity effects into account. Semi-analytic solutions are derived, and examples are presented. Results have important implications in the real estate markets and contribute to the operational research literature on risk measuring and risk management.


Risk management Real estate markets Speculation American put option 


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Copyright information

© Springer Science+Business Media, LLC. 2009

Authors and Affiliations

  • Abel Cadenillas
    • 1
    • 2
  • Robert J. Elliott
    • 3
    • 4
  • Hong Miao
    • 5
  • Zhenyu Wu
    • 6
  1. 1.Department of Mathematical and Statistical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Department of Finance and Management ScienceUniversity of AlbertaEdmontonCanada
  3. 3.Finance Area, Haskayne School of BusinessUniversity of CalgaryCalgaryCanada
  4. 4.School of MathematicsUniversity of AdelaideAdelaideAustralia
  5. 5.Finance and Real Estate Department, College of BusinessColorado State UniversityFort CollinsUSA
  6. 6.Department of Finance and Management Science, N. Murray Edwards School of BusinessUniversity of SaskatchewanSaskatoonCanada

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