Abstract

http://ssrn.com/abstract=1295222
 
 

References (5)



 
 

Citations (1)



 


 



The Valuation and Hedging of Deferred Commission Asset Backed Securities


Jacob Boudoukh


Interdisciplinary Center (IDC) - Rothschild Center

Patrick McAllister


Lincoln Financial Group

Matthew P. Richardson


New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

Robert Whitelaw


New York University; National Bureau of Economic Research (NBER)

April 2000

NYU Working Paper No. FIN-00-019

Abstract:     
Due to a timing mismatch between fee receipts and commission payments, there is a newand growing market for securities backed by fees from back-end load and level load mutualfunds. This paper develops a contingent claims methodology for the valuation of thesesecurities. The resulting security value depends primarily on the current value of fund assets and the fee schedule. The valuation formula also provides an analytical expression for the appropriate strategy for hedging fluctuations in asset value. As a case study, we investigate the hedging performance of an institution that holds a portfolio of these securities.

Number of Pages in PDF File: 32

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Date posted: November 4, 2008  

Suggested Citation

Boudoukh, Jacob and McAllister, Patrick and Richardson, Matthew P. and Whitelaw, Robert, The Valuation and Hedging of Deferred Commission Asset Backed Securities (April 2000). NYU Working Paper No. FIN-00-019. Available at SSRN: http://ssrn.com/abstract=1295222

Contact Information

Jacob (Kobi) Boudoukh (Contact Author)
Interdisciplinary Center (IDC) - Rothschild Center ( email )
P.O.B. 167
Herzliya, 46150
Israel
HOME PAGE: http://cc.idc.ac.il
Patrick McAllister
Lincoln Financial Group ( email )
Philadelphia, PA
United States
Matthew P. Richardson
New York University (NYU) - Department of Finance ( email )
44 West 4th Street
Suite 9-190
New York, NY 10012-1126
United States
212-998-0349 (Phone)
212-995-4233 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Robert F. Whitelaw
New York University ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0338 (Phone)
212-995-4233 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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