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Dokumenttyp:
Buchbeitrag 
Autor(en):
Escobar, M.; Krämer, S.; Scheibl, F.; Seco, L.; Zagst, R. 
Kooperation:
international 
Titel:
Hedge Funds as Knock-out Options 
Abstract:
This paper introduces a new theoretical framework to price hedge funds' equity. It is inspired on the famous framework of Black and Cox for the valuation of companies' equity as call options. Our structural model describing hedge funds uses barrier options (i.e. down-and-out call options as well as up-and-out put options) to allow for the special structure of hedge funds' debt position. The quality of these models is evaluated by its capability to reproduce a high range of historical hedge fund...    »
 
Seitenangaben Beitrag:
1-15 
Herausgeber:
Menéndez, S.C.; F Pérez, J.L. 
Buchtitel:
Contemporary Mathematics (Mathematics in Finance), Vol.515 
Intellectual Contribution:
Discipline-based Research 
Verlag / Institution:
American Mathematical Society 
Jahr:
2010 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
textbook