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Liquidity Greek letter for options based on commercial real estate indices and property future options
Liquidity Greek letter for options based on commercial real estate indices and property future options
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机译：基于商业房地产指数和房地产未来期权的期权的流动性希腊字母
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摘要
To manage risks involved in option positions, traders have developed variables called the ‘Greek letters’ or ‘Greeks’ which capture different dimensions to the risk in an option. These variables which were developed for options linked to assets traded on liquid cash markets (e.g. equity) are appropriate for property options and property futures options as well. Nonetheless, they markedly ignore one fundamental dimension of real estate markets: illiquidity.;Hence, property options (i.e. options based on commercial real estate indices) require additional indicators reflecting the intrinsically illiquid dimension of commercial real estate markets.;This document presents the design of three liquidity Greek letters for options based on commercial real estate indices (property options) and options tied to commercial real estate index based futures contracts (property futures options).
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