Non-depreciation gives to land a central role in the credit expansion process of the modern economy and constitutes the foundation of the relationship between finance and real estate. To understand the process by which land becomes an underlying asset in the financial market, this paper's theoretical model formalises a set of propositions derived from asset price theory and real options theory. Theoretically, vacant land speculation results from rational behaviour; thus, land becomes valued as a real investment option. This real option can later operate as an underlying asset for credits and financial options, which explains the financialisation of vacant land. This work evidences the process of formation of landbanks by insurance companies in Santiago, Chile, showing that their acquisitions are, partly, carried out via Lease-Purchase Contracts. Besides, it is demonstrated that Lease-Purchase Contracts tend to locate in geographical areas with greater growth rate in land price and deviations in this rate.