Pricing upward only adjusting leases:
This paper presents a stochastic pricing model of a unique, path-dependent lease instrument common in the United Kingdom and numerous commonwealth countries, the upward-only adjusting lease. In this lease, the rental rate is fixed at lease commencement but will be reset to the market rate at predete...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
2000
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
7622 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | This paper presents a stochastic pricing model of a unique, path-dependent lease instrument common in the United Kingdom and numerous commonwealth countries, the upward-only adjusting lease. In this lease, the rental rate is fixed at lease commencement but will be reset to the market rate at predetermined intervals (usually every five years) if it exceeds the contract rent. Numerical results indicate how the initial coupon rate should be set relative to that on a symmetric up-and-downward adjusting variable rate' lease under various economic conditions (level of real interest rates and expected drift and volatility of the underlying rental service flow). We also consider the calculation of effective rents when free rent periods are given during either a market collapse or a steady-state drift. |
| Physical Description: | 25 S. graph. Darst. |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV013278279 | ||
| 003 | DE-604 | ||
| 005 | 20000801 | ||
| 007 | t | ||
| 008 | 000801s2000 xxud||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)43849629 | ||
| 035 | |a (DE-599)BVBBV013278279 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-19 |a DE-521 | ||
| 050 | 0 | |a HB1 | |
| 100 | 1 | |a Ambrose, Brent W. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Pricing upward only adjusting leases |c Brent W. Ambrose ; Patric H. Hendershott ; Malgorzata M. Klosek |
| 264 | 1 | |a Cambridge, Mass. |c 2000 | |
| 300 | |a 25 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 7622 | |
| 520 | |a This paper presents a stochastic pricing model of a unique, path-dependent lease instrument common in the United Kingdom and numerous commonwealth countries, the upward-only adjusting lease. In this lease, the rental rate is fixed at lease commencement but will be reset to the market rate at predetermined intervals (usually every five years) if it exceeds the contract rent. Numerical results indicate how the initial coupon rate should be set relative to that on a symmetric up-and-downward adjusting variable rate' lease under various economic conditions (level of real interest rates and expected drift and volatility of the underlying rental service flow). We also consider the calculation of effective rents when free rent periods are given during either a market collapse or a steady-state drift. | ||
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Leases |x Rates |z Commonwealth countries |x Econometric models | |
| 650 | 4 | |a Leases |x Rates |z Great Britain |x Econometric models | |
| 650 | 4 | |a Rent charges |z Commonwealth countries |x Econometric models | |
| 650 | 4 | |a Rent charges |z Great Britain |x Econometric models | |
| 651 | 4 | |a Großbritannien | |
| 700 | 1 | |a Hendershott, Patric H. |e Verfasser |0 (DE-588)128736593 |4 aut | |
| 700 | 1 | |a Klosek, Malgorzata M. |e Verfasser |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 7622 |w (DE-604)BV002801238 |9 7622 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w7622.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009053044 | ||
Record in the Search Index
| _version_ | 1804128045766803456 |
|---|---|
| any_adam_object | |
| author | Ambrose, Brent W. Hendershott, Patric H. Klosek, Malgorzata M. |
| author_GND | (DE-588)128736593 |
| author_facet | Ambrose, Brent W. Hendershott, Patric H. Klosek, Malgorzata M. |
| author_role | aut aut aut |
| author_sort | Ambrose, Brent W. |
| author_variant | b w a bw bwa p h h ph phh m m k mm mmk |
| building | Verbundindex |
| bvnumber | BV013278279 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| ctrlnum | (OCoLC)43849629 (DE-599)BVBBV013278279 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02419nam a2200421 cb4500</leader><controlfield tag="001">BV013278279</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20000801 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">000801s2000 xxud||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)43849629</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV013278279</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-19</subfield><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Ambrose, Brent W.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Pricing upward only adjusting leases</subfield><subfield code="c">Brent W. Ambrose ; Patric H. Hendershott ; Malgorzata M. Klosek</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="c">2000</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">25 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">7622</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">This paper presents a stochastic pricing model of a unique, path-dependent lease instrument common in the United Kingdom and numerous commonwealth countries, the upward-only adjusting lease. In this lease, the rental rate is fixed at lease commencement but will be reset to the market rate at predetermined intervals (usually every five years) if it exceeds the contract rent. Numerical results indicate how the initial coupon rate should be set relative to that on a symmetric up-and-downward adjusting variable rate' lease under various economic conditions (level of real interest rates and expected drift and volatility of the underlying rental service flow). We also consider the calculation of effective rents when free rent periods are given during either a market collapse or a steady-state drift.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Leases</subfield><subfield code="x">Rates</subfield><subfield code="z">Commonwealth countries</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Leases</subfield><subfield code="x">Rates</subfield><subfield code="z">Great Britain</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Rent charges</subfield><subfield code="z">Commonwealth countries</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Rent charges</subfield><subfield code="z">Great Britain</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="651" ind1=" " ind2="4"><subfield code="a">Großbritannien</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Hendershott, Patric H.</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)128736593</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Klosek, Malgorzata M.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">7622</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">7622</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w7622.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009053044</subfield></datafield></record></collection> |
| geographic | Großbritannien |
| geographic_facet | Großbritannien |
| id | DE-604.BV013278279 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:43:00Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009053044 |
| oclc_num | 43849629 |
| open_access_boolean | 1 |
| owner | DE-19 DE-BY-UBM DE-521 |
| owner_facet | DE-19 DE-BY-UBM DE-521 |
| physical | 25 S. graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Ambrose, Brent W. Verfasser aut Pricing upward only adjusting leases Brent W. Ambrose ; Patric H. Hendershott ; Malgorzata M. Klosek Cambridge, Mass. 2000 25 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 7622 This paper presents a stochastic pricing model of a unique, path-dependent lease instrument common in the United Kingdom and numerous commonwealth countries, the upward-only adjusting lease. In this lease, the rental rate is fixed at lease commencement but will be reset to the market rate at predetermined intervals (usually every five years) if it exceeds the contract rent. Numerical results indicate how the initial coupon rate should be set relative to that on a symmetric up-and-downward adjusting variable rate' lease under various economic conditions (level of real interest rates and expected drift and volatility of the underlying rental service flow). We also consider the calculation of effective rents when free rent periods are given during either a market collapse or a steady-state drift. Ökonometrisches Modell Leases Rates Commonwealth countries Econometric models Leases Rates Great Britain Econometric models Rent charges Commonwealth countries Econometric models Rent charges Great Britain Econometric models Großbritannien Hendershott, Patric H. Verfasser (DE-588)128736593 aut Klosek, Malgorzata M. Verfasser aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 7622 (DE-604)BV002801238 7622 http://papers.nber.org/papers/w7622.pdf kostenfrei Volltext |
| spellingShingle | Ambrose, Brent W. Hendershott, Patric H. Klosek, Malgorzata M. Pricing upward only adjusting leases National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Leases Rates Commonwealth countries Econometric models Leases Rates Great Britain Econometric models Rent charges Commonwealth countries Econometric models Rent charges Great Britain Econometric models |
| title | Pricing upward only adjusting leases |
| title_auth | Pricing upward only adjusting leases |
| title_exact_search | Pricing upward only adjusting leases |
| title_full | Pricing upward only adjusting leases Brent W. Ambrose ; Patric H. Hendershott ; Malgorzata M. Klosek |
| title_fullStr | Pricing upward only adjusting leases Brent W. Ambrose ; Patric H. Hendershott ; Malgorzata M. Klosek |
| title_full_unstemmed | Pricing upward only adjusting leases Brent W. Ambrose ; Patric H. Hendershott ; Malgorzata M. Klosek |
| title_short | Pricing upward only adjusting leases |
| title_sort | pricing upward only adjusting leases |
| topic | Ökonometrisches Modell Leases Rates Commonwealth countries Econometric models Leases Rates Great Britain Econometric models Rent charges Commonwealth countries Econometric models Rent charges Great Britain Econometric models |
| topic_facet | Ökonometrisches Modell Leases Rates Commonwealth countries Econometric models Leases Rates Great Britain Econometric models Rent charges Commonwealth countries Econometric models Rent charges Great Britain Econometric models Großbritannien |
| url | http://papers.nber.org/papers/w7622.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT ambrosebrentw pricingupwardonlyadjustingleases AT hendershottpatrich pricingupwardonlyadjustingleases AT klosekmalgorzatam pricingupwardonlyadjustingleases |