Stay ahead of the fixing lag
The price of fund-linked derivatives depends on the fixing lag of the underlying funds
CLICK HERE TO VIEW THE PDF
Per Hörfelt shows that the price of a fund-linked derivative depends on the autocorrelation between the returns of the fund and the length of the fixing lag, since the exact delta is not known until the value of the fund is reported
The mathematical modelling of the price process of a listed fund is similar, but not identical, to that of an equity. One difference between a listed fund and an equity is that the spot value may not be known for a fund. Fund managers are
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Investments
7 days in 60 seconds
RBS, dividend curves and system failures
The week on Risk.net, March 28-April 3, 2020
Receive this by email