The market pricing of the lifeboat provision in a closed-end fund

DOI10.1080/14697688.2013.816438MaRDI QIDQ2879020zbMATH OpenOpenAlexFDO

Authors Chun Yang Zhou, Chong Feng Wu, Wenfeng Wu

Publication date 5 September 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.816438

zbMATH Keywords

net asset valueclosed-end fundlifeboat provisionParisian-exchange optiontrinomial-tree method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Recommendations

• Activist arbitrage, lifeboats, and closed-end funds
• Pricing Dynamic Investment Fund Protection
• Dynamic Fund Protection
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory

Cites work

• A combinatorial approach for pricing Parisian options.
• Barrier option pricing: a hybrid method approach
• Brownian Excursions and Parisian Barrier Options
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Parisian exchange options

Cited in

(3)

• Activist arbitrage, lifeboats, and closed-end funds
• A panel data analysis of factors affect closed-end fund discount in China
• A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory

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