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Titel:

Hedge Funds as Knock-out Options

Dokumenttyp:
Buchbeitrag
Autor(en):
Escobar, M.; Krämer, S.; Scheibl, F.; Seco, L.; Zagst, R.
Kooperation:
international
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
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