User: Guest  Login
Less Searchfields
Simple search
Title:

Hedge Funds as Knock-out Options

Document type:
Buchbeitrag
Author(s):
Escobar, M.; Krämer, S.; Scheibl, F.; Seco, L.; Zagst, R.
Cooperation:
international
Pages contribution:
1-15
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...     »
Editor:
Menéndez, S.C.; F Pérez, J.L.
Book title:
Contemporary Mathematics (Mathematics in Finance), Vol.515
Intellectual Contribution:
Discipline-based Research
Publisher:
American Mathematical Society
Year:
2010
Reviewed:
ja
Language:
en
Semester:
SS 02
Format:
Text
Key publication:
Nein
Peer reviewed:
ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Category:
textbook
 BibTeX