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Titel:

The Price of Liquidity in Constant Leverage Strategies

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar, M.; A., Kiechle; L., Seco; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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
Zeitschriftentitel:
RACSAM
Jahr:
2009
Band / Volume:
103
Heft / Issue:
2
Seitenangaben Beitrag:
373-385
Sprache:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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