A Call on Art Investments

30 Pages Posted: 26 Feb 2020

See all articles by Roman Kräussl

Roman Kräussl

Bayes Business School (formerly Cass); Hoover Institution, Stanford University

Christian Wiehenkamp

affiliation not provided to SSRN

Date Written: January 15, 2011


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.

Keywords: Art Market, Art Index, Alternative Investments, Option Pricing

JEL Classification: G11, G13, Z11

Suggested Citation

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

Roman Kraeussl (Contact Author)

Bayes Business School (formerly Cass) ( email )

106 Bunhill Row
United Kingdom

Hoover Institution, Stanford University ( email )

Stanford, CA 94305
United States

Christian Wiehenkamp

affiliation not provided to SSRN

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