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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar, M.; A., Kiechle; L., Seco; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
The Price of Liquidity in Constant Leverage Strategies 
Abstract:
In this paper we develop a formula for the Liquidity Premium of constant leverage strategies (CLS). These financial products are path dependent options where the underlying typically is a hedge fund portfolio. We describe and explain the functionality of CLSs, showing a closed form expression for the price of a CLS on a hedge fund assuming a Geometric Brownian Motion, discrete rebalancing for the hedge fund investment as well as stochastic interest rates. The risk of default before the next reba...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
RACSAM 
Year:
2009 
Journal volume:
103 
Journal issue:
Pages contribution:
373-385 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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