|
|
|
|
||||
|
||||
A Call on Art InvestmentsRoman KräusslUniversite du Luxembourg - Luxembourg School of Finance; Emory University - Goizueta Business School Christian WiehenkampRiskLab GmbH January 15, 2011 Review of Derivatives Research, Vol. 15, No. 1, 2012. Abstract: The art market has seen a sustained growth over the last years, but participation has been reserved for just a few investors. The paper proposes to overcome this problem by introducing a call option on an art index which is derived from one of the most comprehensive data sets of art market transactions. The option allows investors to optimize their exposure to art. For pricing purposes, nontradability of the art index is acknowledged, and a fundamental PDE for the option value and its closed form solution are derived, if one assumes the underlying to be correlated with an existing asset. A lower bound for the option value is also given when no such correlated asset exists.
Number of Pages in PDF File: 30 Keywords: Art Market, Art Index, Alternative Investments, Option Pricing JEL Classification: G11, G13, Z11 Accepted Paper SeriesDate posted: November 17, 2008 ; Last revised: March 20, 2012Suggested CitationContact Information
|
|
||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo1 in 0.438 seconds
