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Estimating Implied Valuation Parameters: Extension and Application to Ground Lease Rentals

dc.contributor.authorQuigley, Neil
dc.contributor.authorBoyle, Glenn
dc.contributor.authorGuthrie, Graeme
dc.date.accessioned2015-02-11T21:39:13Z
dc.date.accessioned2022-07-07T02:07:07Z
dc.date.available2015-02-11T21:39:13Z
dc.date.available2022-07-07T02:07:07Z
dc.date.copyright11/09/2008
dc.date.issued2008
dc.description.abstractA problem that often arises in applied finance is one where decision-makers need to choose a value for some parameter that will affect the cash flows between two parties such as a rental rate or an exercise price. Because the values of the cash flows also depend on various unobservable parameters identifying the value of the policy parameter that achieves the desired allocation between the parties is no simple task often resulting in disputes and the invocation of ad-hoc approaches. We show how this problem can be solved using an extension of the well-known 'implied volatility' technique from option pricing and apply it to the determination of equilibrium rental rates on ground leases of commercial land.en_NZ
dc.formatpdfen_NZ
dc.identifier.urihttps://ir.wgtn.ac.nz/handle/123456789/19113
dc.language.isoen_NZ
dc.publisherTe Herenga Waka—Victoria University of Wellingtonen_NZ
dc.rightsPermission to publish research outputs of the New Zealand Institute for the Study of Competition and Regulation has been granted to the Victoria University of Wellington Library. Refer to the permission letter in record: https://ir.wgtn.ac.nz/handle/123456789/18870en_NZ
dc.titleEstimating Implied Valuation Parameters: Extension and Application to Ground Lease Rentalsen_NZ
dc.typeTexten_NZ
vuwschema.contributor.unitNew Zealand Institute for the Study of Competition and Regulationen_NZ
vuwschema.contributor.unitVictoria Business School: Orauarikien_NZ
vuwschema.subject.anzsrcfor149999 Economics not elsewhere classifieden_NZ
vuwschema.subject.anzsrcforV2389999 Other economics not elsewhere classifieden_NZ
vuwschema.type.vuwWorking or Occasional Paperen_NZ

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