A call on art investments

DOI10.1007/S11147-011-9061-XMaRDI QIDQ437102zbMATH OpenOpenAlexFDO

Authors Roman Kraeussl, Christian Wiehenkamp

Publication date 17 July 2012

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-011-9061-x

zbMATH Keywords

option pricingalternative investmentsart indexart market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Recommendations

• Econometric analysis of volatile art markets
• Total risk aversion and the pricing of options
• Robust hedging of barrier options.
• Efficiency and options on the market index
• Option on a CPPI

Cites work

• scientific article; zbMATH DE number 5529013 (Why is no real title available?)
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
• The pricing of options and corporate liabilities

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