This research begins by developing and applying techniques for the evaluation and risk analysis of real estate investment that are commonly used in other areas of finance and in actuarial science. Option pricing techniques for the evaluation of real estate investments that have options embedded within their lease terms are then developed and applied to the valuation of upward only rent review properties under the assumptions of a variety of financial conditions. Techniques for pricing embedded options are developed that do not require the restrictive financial assumptions of traditional option pricing techniques. Finally, the research uses a form of asset/liability modelling to determine the optimal amount of real estate investment in different forms of pension scheme. The problem of "valuation smoothing" inherent in many asset allocation models using real estate data is recognised and overcome. These strands of research are linked in the essay that forms the first part of the thesis.