Stay ahead of the fixing lag

Per Hörfelt
25 Nov 2019

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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

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