Abstract

http://ssrn.com/abstract=1301073
 
 

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A Call on Art Investments


Roman Kräussl


Universite du Luxembourg - School of Finance; Emory University - Goizueta Business School

Christian Wiehenkamp


RiskLab 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 Series





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Date posted: November 17, 2008 ; Last revised: March 20, 2012

Suggested Citation

Kräussl, Roman and Wiehenkamp, Christian, A Call on Art Investments (January 15, 2011). Review of Derivatives Research, Vol. 15, No. 1, 2012.. Available at SSRN: http://ssrn.com/abstract=1301073

Contact Information

Roman Kraeussl (Contact Author)
Universite du Luxembourg - School of Finance ( email )
4, rue Albert Borschette
Luxembourg, 1246
Luxembourg
+3524666445442 (Phone)
HOME PAGE: http://www.art-finance.com
Emory University - Goizueta Business School ( email )
1300 Clifton Road
Atlanta, GA 30322-2722
United States
+14042812253 (Phone)
+14047275238 (Fax)
HOME PAGE: http://www.art-finance.com
Christian Wiehenkamp
RiskLab GmbH
Seidlstr. 24-24a
Munich, 80335
Germany
HOME PAGE: http://www.risklab.com
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