This paper illustrates a derivative of a derivative (i.e. "delta") of an exchange option in the U.S. real estate investment trust (REIT) industry. So far, it seems that there is no study that derives a "delta" of an exchange option using Laplace transform. First, the "delta" illustrates that change in exchange option is "driven" by at least one variable which in turn influences the curvature of a "delta" distribution. The empirical results show that each "delta" is 0.03 on average. Lastly, it seems that REIT mergers and acquisitions (M&As) occurred both for strategic and financial reasons.
Information Diffusion in the U.S. Real Estate Investment Trust Market